We study the self-selection of migrants at crossing locations along the Mexican-U.S. border distinguished by stark differences in physiography and border enforcement intensities. We model the triggers of hazardous crossings, and reveal self-selection patterns that are alternative-specific: individuals with low economic prospects at origin communities are favorably selected at high-risk, high-reward crossing locations. Using comprehensive migrant journey level trajectories from the Mexican Migration Project (1980 -2005), and identification based on enforcement reforms, community-level trade and weather shocks, as well as migrant-specific characteristics, we estimate a McFadden choice model of border crossing. Results confirm the negative-selection of migrants in high-risk, high-likelihood of success border crossing locations, in addition to nuanced variations when economic shocks are idiosyncratic rather than permanent. The implications of these observations on the effectiveness of border walls and trade walls in mediating cross-border migration flows are also discussed.