It depends on the country you arrive in. You can apply for asylum but this requires that you prove you are being persecuted in your country of origin. This process can usually be quite hard. Most of these people are the subject of ethnic, religious or political cleansing. So someone like a baseball player would likely not be able to claim asylum. But there is a number of different types of visas and work permits that people can apply for. This often require you to be able to show that you have money for your own stay or have someone sponsor your visa for you. This is probably the best way for a baseball player to do it as they can get an MLB team to say to the immigration authorities that they are willing to pay them to play in the US and they will get their visa and work permit. There is also a process of becoming a citizen as well but this can also be quite long.
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