From Ancestry.com Wiki
This entry was originally written by Alice Eichholz, Ph.D., CG, for Red Book: American State, County, and Town Sources.
Both immigration and naturalization records abound for Massachusetts since Boston was a major port of entry for hundreds of millions of people seeking refuge, food, land, and religious and political freedom from points across the Atlantic. Smaller ports existed in other towns both north and south of Boston’s wharfs. The seventeenth- and nineteenth-century records are well organized, but few of the eighteenth-century records are as easily accessed.
Early Immigration. While literally hundreds of published lists exist, the most definitive resource to use for those known lists for the 1620–1700 period is Filby and Meyer’s Passenger and Immigration Lists Index, which is also available in online subscription databases for volumes published to 2003 (see page 17). However, the researcher must refer to the primary source after using the index, since the index is derived from other published indexes of original lists and not the primary material itself.
1800-Present. The nineteenth century brought massive numbers of immigrants to Massachusetts, creating a much more heterogeneous population than a century earlier. Fortunately, many passenger lists have been indexed for the period.
The Massachusetts Archives has an alphabetical card index to the Port of Boston passenger lists (1848–91), called the state list. The archives is computerizing this card file, which was about half complete (2004). The National Archives—Northeast Region (covering both Boston and Pittsfield—see page 11) both have passenger lists from both Massachusetts and other ports (1820–ca. 1954). The National Archives in Washington, D.C., has copies of the Boston lists for 1820 to 1891 (Record Group 36, M277), though some gaps in coverage appear in the microfilm copy of the lists. The microfilm index to passenger lists made by the National Archives in Washington, D.C., for 1848 to 1891 (Record Group 36, M265) used the state lists to create their index for arrivals at the port of Boston. Consequently, people might appear on the microfilmed federal index and the state list at the Massachusetts Archives, but not on the federal lists.
The National Archives in Washington, D.C., also has an index to passenger lists for arrivals at Boston from 1902 to 1920 (Record Group 85, T521; T617), book indexes to the Boston passenger lists by date of arrival from 1899 to 1940 (Record Group 85, T790), and passenger lists themselves 1891 to 1943 (Record Group 85, T843). These records groups are being added to the online Immigration Records searchable database at Ancestry.com (see page 17).
Boston was only one port of entry open for immigrants to Massachusetts. There are lists for other ports in the state as well, generally covered by the National Archives index in Record Group 36 (M334) Atlantic, Gulf, and Great Lakes ports (1820-91) (see page 14).
In the Boston area, the Boston Public Library has microfilm copies of all the federal passenger lists beginning in 1820, as well as other immigration material.