Abstract Background The COVID-19 pandemic has had a disproportionately hard impact on refugees and other migrants who are often exposed to the virus with limited means to protect themselves. We tested the hypothesis that during the COVID-19 pandemic, refugees and other migrants have suffered a negative impact on mental health and have been unjustly discriminated for spreading the disease in Europe (data collection from April to November 2020). Methods Participants in the ApartTogether Survey (N = 8297, after listwise deletion of missing items final N = 3940) provided data regarding to their difficulties to adhere to preventive recommendations against COVID-19 infection (CARE), self-perceived stigmatization (SS), and psychological distress (PD). Structural Equation Modeling was used to investigate PD as a mediator in the pathway linking CARE to SS, while adjusting for the housing and residence status. To improve confidence in the findings, single hold-out sample cross-validation was performed using a train/test split ratio of 0.8/0.2. Results In the exploratory set (N = 3159) SS was associated with both CARE (B = 0.200, p