This study examines the role of immigrants’ country of origin, country of destination and combinations thereof (settings or communities) in the likelihood of immigrants being selfemployed. I pooled census data from three classic immigrant countries (Australia, Canada and the United States) and labor-force surveys from 14 countries in the European Union for a cross-national data set. Using multilevel techniques, I find that (1) immigrants from non-Christian countries of origin have higher odds of self-employment, (2) higher levels of unemployment among natives increase the odds of self-employment, and (3) selfemployment is more frequent among immigrant communities that are small, highly educated and have a longer settlement history.