From the Wikipedia article, History of laws concerning immigration and naturalization in the United States in the section on the 20th century

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In 1932 President Roosevelt and the State Department essentially shut down immigration during the Great Depression as immigration went from 236,000 in 1929 to 23,000 in 1933. This was accompanied by voluntary repatriation to Europe and Mexico, and coerced repatriation and deportation of between 500,000 and 2 million Mexican Americans, mostly citizens, in the Mexican Repatriation. Total immigration in the decade of 1931 to 1940 was 528,000 averaging less than 53,000 a year.
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Lots of other interesting stuff in that Wikipedia article as well. It hasn't always been "The door's wide open, come on over, bring the whole family!" in American immigration.