Today, there is limited knowledge about the living conditions of undocumented migrants (UMs) in Sweden. It is hypothesised that Ums’ living conditions increases cases of mental illness among them. The aim of this study was twofold, to explore: the housing situation of UMs in Sweden, and its association to their state of mental health. A cross‐sectional study with adult UMs was conducted in the three largest cities in Sweden in 2014–2016. A total of 104 UMs participated. Based on the results, we can conclude that UMs living in the most vulnerable housing situations have worse outcomes in their mental health evaluations. Depression, anxiety and post‐traumatic stress disorder are more common among UMs who are living in temporary accommodation or sharing a flat with others than among those who do not. UMs are living in housing situations that would force local social service to act were it not that they have UM status.