Foreign‐born migrants – a group rarely compared with both internal migrants and long‐term residents – are often positioned as the most disadvantaged South African urban population. We use data from a 2008 cross‐sectional household survey conducted in Johannesburg to compare a contextually relevant measure of social capital and livelihood advantages between foreign‐born migrants, internal migrants, and long‐term South African residents. Our findings are counterintuitive and emphasize the need to explore the heterogeneity of urban migrant populations, and the mechanisms in which they better their lives, by showing that (1) foreign‐born migrants have better urban livelihood outcomes, and (2) indicators of social capital are not necessarily associated with improved livelihood outcomes.