Foreign migrant domestic workers experience an increased burden of mental disorders. Discrimination contributes to this burden. Social resources may buffer migrants from the effects of this discrimination. The present study explored the relationship between discrimination and common mental disorder (CMD) symptoms, anxiety and depression, and examined whether social capital (cognitive and structural) modified this association. A total of 131 female migrant Filipina domestic workers in Macao, China (M = 39.7) were sampled using snowball methods. Self-report data were obtained using tablet devices. Correlation analyses demonstrated that discrimination was significantly associated with depression (r = 0.43) and anxiety (r = 0.42). Mulitvariable regressions showed that cognitive, but not structural, social capital was significantly negatively associated with depression (β = −0.30) and anxiety (β = −0.32). Cognitive social capital modified the association between discrimination and depression (β = 0.39) and anxiety (β = 0.53). Contrary to predictions, as discrimination increased, compared to those with no cognitive social capital, those with moderate or high levels of cognitive social capital experienced worsening CMD symptoms. This finding provides greater nuance to our understanding of how and under what circumstances social resources are protective for mental health for migrant workers.