The growing use of smart home devices poses considerable privacy and security challenges, especially for individuals like migrant domestic workers (MDWs) who may be surveilled by their employers. This paper explores the privacy and security challenges experienced by MDWs in multi-user smart homes through in-depth semi-structured interviews with 26 MDWs and 5 staff members of agencies that recruit and/or train domestic workers in China. Our findings reveal that the relationships between MDWs, their employers, and agencies are characterized by significant power imbalances, influenced by Chinese cultural and social factors (such as Confucianism and collectivism), as well as legal ones. Furthermore, the widespread and normalized use of surveillance technologies in China, particularly in public spaces, exacerbates these power imbalances, reinforcing a sense of constant monitoring and control. Drawing on our findings, we provide recommendations to domestic worker agencies and policymakers to address the privacy and security challenges facing MDWs in Chinese smart homes.