Research on immigrant “illegality” examines how immigration law and enforcement implicate both undocumented and documented immigrants who have been punished for violating immigration law. Yet, this literature seldom considers how the majority of immigrants who have never had punitive contact with this system perceive its risk to their lives. This article draws on insights from the sociology of risk, which foregrounds how past experiences shape one’s perceptions of perilous situations, to explore how a diverse range of immigrants understand and experience immigration law and enforcement. Drawing on ethnographic and interview data collected over three years with Latin American households in Dallas County, Texas, I show how system embeddedness emerges as one under-theorized dimension of social control: Absent prior punitive contact, the undocumented tend to downplay the risk the system poses to their lives because they exist outside the U.S. immigration bureaucracy, whereas those with legal status report great risk for being known to it. I discuss the implications of my findings for broader sociological theories of surveillance and punishment. In particular, I conclude by outlining how the contemporary immigration system has come to represent an all-encompassing social arrangement that not only sanctions immigrants who have violated immigration law through its enforcement arm but also instills a sense of risk among those known to its bureaucratic arm.