In this study, we compared 10 ethnic groups for associations between psychiatric disorders and physical self-rated health (SRH) in the United States. Data came from the Collaborative Psychiatric Epidemiology Surveys (CPES), 2001–2003. The study included 7587 non-Latino White, 4746 African American, 1442 Mexican, 1106 other Hispanic, 656 other Asian, 600 Chinese, 577 Cuban, 520 Vietnamese, 508 Filipino, and 495 Puerto Rican individuals. The Composite International Diagnostic Interview (CIDI) was used to measure psychiatric disorders, including major depressive disorder (MDD), general anxiety disorder (GAD), social phobia, panic disorder, post-traumatic stress disorder (PTSD), alcohol abuse, and binge eating disorders. A single-item measure was used to estimate physical SRH. Demographic (age and gender) and socioeconomic (education and income) factors were also measured. Unadjusted and adjusted correlations between psychiatric disorders and physical SRH were calculated. Major ethnic variations were found in the correlation between psychiatric disorders and physical SRH; as well as the role of demographic and socioeconomic status (SES) factors in explaining these associations. non-Hispanic Whites, Cubans, and African Americans showed more correlations between psychiatric disorders and physical SRH than other ethnic groups. In non-Hispanic Whites, the associations between psychiatric disorders and physical SRH were explained by demographic factors. In African Americans, the link between psychiatric disorders and poor physical SRH were explained by SES indicators. In conclusion, although single-item physical SRH measures are traditionally assumed to reflect the physical health needs of populations, they may also indicate psychiatric disorders in some ethnic groups, such as non-Hispanic Whites, Cubans, and African Americans. Demographic and socioeconomic factors also have differential roles in explaining the link between psychiatric disorders and physical SRH. Physical SRH does not exclusively reflect physical health, and it may be more biased by mental health across some ethnic groups.