“Our identity is at once plural and partial.Sometimes we feel that we straddle two cultures;At other times, that we fall between two stools.” Salman Rushdie The integration problems of immigrants in the post‐Soviet Azerbaijan have not been the focus of researchers' attention. The present article fills this gap. I classify immigrants into three groups: 1) natives of Azerbaijan (re‐emigrants) and their family members; 2) ethnics from Georgia; 3) labour immigrants from different countries, who arrive to Azerbaijan to look for a job or to open their own business. I examine the social resources and practices used by immigrants to support their integration, in the absence of state integration policy. I conclude that the main resource is each immigrant's personal social capital, based on networks. These networks are transnational in their nature. Immigrants build up and integrate in this kind of transnational network, as well as in the transnational spaces of the capital of Azerbaijan (Baku), where the vast majority of them reside after they move to the country.