This article examines the paradoxes of neoliberalism through two migrant sex workers’ negotiation of the transnational disciplinary regimes of morality, national security, and humanitarianism. We take as our point of departure their active resistance to the label of “victims of sex trafficking.” From a close analysis of their migration journey and their experiences in the United States, we come to understand these women as defiant neoliberal subjects. We argue that global anti-trafficking initiatives as they have taken shape in the twenty-first century are part of neoliberal governance. The women’s sexual labor subjects them to the scrutiny and penalty of the state. Yet they see themselves as self-sufficient, self-responsible, and self-enterprising individuals. We locate these tensions within three paradoxes of neoliberalism: the apparent amorality of neoliberalism and its facilitation of a conservative moral agenda; the depoliticization of social risks and the hyperpoliticization of national security; and the continuous creation and ravaging of vulnerable populations coupled with the celebration of humanitarian/philanthropic responses from governmental and NGO sectors. Juxtaposing these women’s self-making projects with the transnational state apparatus to combat “sex trafficking,” we gain insights into how individual pursuits and state practices intersect at this neoliberal moment—despite their different purposes.