Rejection‐identification and rejection‐disidentification models propose that low‐status groups identify with their in‐group and disidentify with a high‐status out‐group in response to rejection by the latter. Our research tests these two models simultaneously among multiple groups of foreign‐born people living in two cultural contexts. We examined these effects on representative samples of 2446 refugees in the Netherlands (Study 1) and 1234 voluntary immigrants in Spain (Study 2). We found that both ethnic and host national identification are ‘healthy’ and thus predominantly conducive to greater hedonic and eudaimonic well‐being. Further, perceived discrimination was associated with host national disidentification among refugees in the Netherlands and voluntary immigrants in Spain. However, our findings regarding the rejection‐identification link were less consistent. We discuss the importance of ethnic and host national identification for the well‐being of immigrants.