Background: Although being a woman and having a migration background are strong predictors of poor self-rated health among (older) adults, research on the sex difference in self-rated health among (older) migrants remains limited. This study therefore aims to investigate this topic and explore the contributing role of determinants of self-rated health. Methods: Cross-sectional data from 360 Turkish-Dutch and Moroccan-Dutch adults aged 55–65 as part of the Longitudinal Aging Study Amsterdam (LASA) were used. Self-rated health (good versus poor) was measured by a single item question. Univariate age-adjusted logistic regression analysis was used to investigate the sex difference in self-rated health and the contribution of sex differences in sensitivity (strength of the association) and/or exposure (prevalence) to socio-demographic, social, lifestyle or health-related determinants of self-rated health. Results: Women had a 0.53 times lower odds (95%CI:0.40–0.82, p = 0.004) on good self-rated health compared to men. Women more often having a lower education level, living alone and having a higher prevalence of depressive symptoms, chronic diseases and especially functional limitations contributed to the lower self-rated health among women. In contrast, men were more sensitive to the impact of memory complaints, depressive symptoms, visual difficulties and functional limitations. Conclusions: Older Turkish-Dutch and Moroccan-Dutch women have a significant lower self-rated health compared to men. Women having a higher exposure to both socio-demographic and health-related determinants of self-rated health, which contributed to the sex difference. Future research should take these differences in self-rated health and determinants between women and men into account when investigating health among older migrants.