This study examined the relation between ethnically based rejection sensitivity and academic achievement in a sample of 936 immigrant students in Germany and Switzerland. The theory of race‐based rejection sensitivity that originated in North America was extended to immigrant students in Europe. The rough political climate against immigrants in Europe makes it probable that immigrant youth face particular difficulties and are affected by ethnically based rejection sensitivity, at least as much as—or even more than—minority youth in the United States. Using a standardized literacy performance test and multilevel analyses, we found that ethnically based rejection sensitivity was negatively related to academic achievement for immigrant students. This relation was partially mediated by a strong contingency of the students' self‐worth on the heritage culture, as well as by a low number of native German or Swiss majority‐group friends. We interpret these processes as immigrant students' efforts to cope with ethnically based rejection sensitivity by retracting into their heritage culture and avoiding majority‐group contact, which unfortunately, however, at the same time also results in lower academic achievement. Copyright © 2014 John Wiley & Sons, Ltd.