The Great Migration from the South and the rise of racial residential segregation strongly shaped the twentieth-century experience of African Americans. Yet, little attention has been devoted to how the two phenomena were linked, especially with respect to the individual experiences of the migrants. We address this gap by using novel data that links individual records from the complete-count 1940 Census to those in the 2000 Census long form, in conjunction with information about the level of racial residential segregation in metropolitan areas in 1940 and 2000. We first consider whether migrants from the South and their children experienced higher or lower levels of segregation in 1940 relative to their counterparts who were born in the North or who remained in the South. Next, we extend our analysis to second-generation Great Migration migrants and their segregation outcomes by observing their location in 2000. Additionally, we assess whether second-generation migrants experience larger decreases in their exposure to segregation as their socioeconomic status increases relative to their southern and/or northern stayer counterparts. Our study significantly advances our understanding of the Great Migration and the “segregated century.”