Throughout The Worst Hard Time, there are lengthy vignettes of ethnic and geographical prejudice.

Egan traces the prejudice of Native American ancestry through three generations of Bam White's family. He begins with the story of how White's own aunt pleads with him not to tell people outside of the family that he's part Native American. The prejudice continues with White's peers, and culminates as school children tease White's son, Melt, calling him names because of his Native American ancestry.

George Ehrlich is called a Kraut, and he doesn't feel comfortable attending a non-German-Russian church. In Chapter 4, there is a three-page account of how a school teacher, whom Ehrlich invites to dinner at his home, sees a picture of Kaiser Wilhelm on her host's wall. The school teacher then alerts the authorities. Two days later, police barge into Ehrlich's home and search through all his belongings inside and outside of his home, and accuse him of being a German spy. Ehrlich (along with eleven other German immigrants) go before a federal judge, who finally exonerates the spy charges for insufficient evidence, particularly since Ehrlich shows the judge bonds he has bought for the American war effort.

There are also accounts of prejudice toward blacks.