The study aims to evaluate the health profile of first- and second-generation Romanian immigrants living in Italy compared to their adolescent peers in the country of origin (Romania) and the host population (Italian-borns). Analyses were performed on the 2013/2014 Health Behaviour in School-aged Children (HBSC) survey data. Romanian natives showed lower levels of health complaints and higher life satisfaction than Romanian migrants, who were similar to the host population, especially the second-generation ones. A comparable prevalence of being bullied was registered among Romanians, both native and immigrant, with significantly lower levels among Italian natives. Bullying others showed the second-generation migrants share a similar prevalence with the host population. The prevalence of liking school a lot was three times higher among the Romanian natives than among their peers living in Italy. Thanks to the HBSC data, this study is the first to examine the health of adolescent migrants from both the perspective of the host country and the population of origin. The results highlight the need for a more nuanced approach to studying immigrant populations, taking into account both the host country’s perspective and the health patterns of the population of origin.