Using data from the Mexican Migration Project we compute probabilities of departure and return for first and later trips to the USA in both documented and undocumented status. We then estimate statistical models to analyse the determinants of departure and return according to legal status. Prior to 1986, Mexico–US migration was characterised by great circularity, but since then circularity has declined markedly for undocumented migrants but increased dramatically for documented migrants. Whereas return migration by undocumented migrants dropped in response to the massive increase in border enforcement, that of documented migrants did not. At present, the Mexico–US migration system has reached a new equilibrium in which undocumented migrants are caged in as long-term settlers in the USA while documented migrants increasingly range freely and circulate back and forth across the border within rising frequency.