Michael Phillips of Chicago Tribune described the film as "Gray's most satisfying to date, an ode to melodrama of another day, done with style and surprising restraint." Ignatiy Vishnevetsky of The A.V. Club lauded it as an "American masterpiece," claiming: "Gray is the most underappreciated of this country's major filmmakers; his movies distill a century's worth of American feature film—a little late silent cinema here, a little New Hollywood there—into a distinctly personal style. ... What makes The Immigrant a great film is the way in which Gray uses actors and his mastery of the unspoken to create a tremendously lived-in, felt-through world. Every space—public or private, interior or exterior—feels authentic, historically and emotionally." Ed Gonzalez of Slant Magazine gave the film 3 and a half out of 4 stars, saying that "The Immigrant feels closer in spirit to Roberto Rossellini's collaborations with Ingrid Bergman" and calling it "Gray's Voyage to Italy".
