This paper looks at the migrants' occupational integration process. Two main theoretical perspectives are tested: the first one (assimilation view) claims that in the short‐run migrants are penalized, but as they settle in the receiving country they get integrated into the host society; the second one (segmented assimilation view) claims that disadvantages persist in the long‐run. EU‐LFS and ESS data are described and modelled, in order to compare the labour market performances of migrants in four European old‐receiving countries (Germany, France, Great Britain and Sweden) and in two new‐receiving countries (Spain and Italy) both in a short‐term and in a long‐run perspective. We find that a) in the short‐run, migrants' labour market condition is worst with respect to the natives; b) this gap decreases with older migrants; c) the ethnic penalty disappears with the second generation, when they achieve a level of education comparable to that of the natives.