Nativity status seems to have a protective effect on asthma. However, there is little information in the literature on the effect of nativity status on asthma for non-Hispanic Black and White children and adolescents. This study investigates the association between nativity status and self-reported asthma in U.S. children and adolescents under 21 years of age after controlling for selected characteristics including education and income. Logistic regression was conducted using SUDAAN to estimate odds ratios from data of the National Health and Nutrition Examination Survey 1999–2004. The prevalence of asthma for U.S. children and adolescents is 14.5%, with U.S.-born exhibiting a higher prevalence (15.1%) than foreign-born (7.3%, p<.0001). In the fully-adjusted analysis, foreign-born children and adolescents were almost twice less likely than U.S.-born counterparts to report asthma. This association differs by race/ethnicity, with the lowest odds being observed in Whites (OR: 0.29, 95% CI: 0.10–0.86), followed by Mexican Americans (OR: 0.38; 95% CI: 0.25–0.56) and Blacks (OR: 0.52; 95% CI: 0.29–0.94). Moreover, this association varies by education: Foreign-born children of survey respondents who had at least a high school education were more than twice less likely than their U.S.-born counterparts to have asthma. The findings of this study underscore the importance of inquiring about nativity status when studying asthma among U.S. children and adolescents.