The purpose of this study is to empirically investigate the country‐level antecedents of cross‐country differences in consumer cosmopolitanism and consumer ethnocentrism (CET) using samples from 21 nations. Country‐level antecedents have not been examined extensively in the past, in spite of their importance in understanding consumer behavior across countries. Specifically, we perform a multilevel analysis with various country‐level cultural and economic antecedents as between‐country factors and individual‐level demographics as within‐country covariates. Our findings show that the level of consumer cosmopolitanism in a country is related to several country‐level factors. It was found to be high in more individualistic, less masculine, and high‐uncertainty‐avoidance cultures; developing countries; and countries with trade surpluses. On the other hand, CET had a high level in economically open countries. In addition, CET was higher among older consumers across countries.