The present article examines the strategies that immigrants living in Greece use to cope with stigma that arises in their interaction with both Greek society and their communities of origin. Drawing on interviews and focus groups conducted with immigrants from a variety of countries, a dialogical analysis illuminates the ways in which immigrants actively negotiate stigmatizing perspectives and transform themselves. Strategies include the deployment of social categories such as those of ‘human being’ and ‘crazy’ person, and concepts such as those of ‘lawfulness’ and ‘fate’. These were used to construct meanings of equality and inclusion into society, to deny responsibility for stigma and to discredit stigma as absurd. They enabled participants to see themselves as proud, equal, self‐dependent individuals who plan actions for social change. The article suggests that coping with stigma should not only be understood in terms of stress regulation, leading to positive or negative outcomes, as suggested by current literature, but as a meaning‐making effort, through which individuals transform the way they see themselves and act within their world. A meaning‐making approach moves away from individualistic, outcome‐oriented explanations to a socially situated perspective on stigma that studies the processes through which social meanings are subjectively perceived as stigmatizing and are used to challenge stigma. Copyright © 2013 John Wiley & Sons, Ltd.