Using data from the National Survey of American Life (NSAL) (2001-2003), we examine regional differences in past-year anxiety disorder and past-year major depressive episodes among a geographically diverse sample of Black Americans (N = 3,672). We find that Black Americans residing in the South experience a mental health advantage over Black Americans living in other parts of the country, experiencing lower rates of both anxiety disorder and past-year major depression. We also examine the extent to which stress exposure, religious involvement, and neighborhood contexts help explain any regional differences. We find that stress exposure helps to explain much of the differences observed across regions, while religious involvement and neighborhood contexts help explain observed regional differences to a lesser extent. These findings highlight the importance of considering regional contexts in understanding intra-racial differences in mental health.