This article explores the labour market dynamics of three groups of highly skilled foreign nationals in the UK: non‐European Union (EU), Old EU (i.e. nationals of the other 14 countries that were members of the EU before 2004), and A8 (i.e. countries that joined the EU in 2004 with the exception of Malta and Cyprus). In particular, the article explores the impact of the UK business cycle on the labour market outcomes of these three groups and compares that impact with the one for highly skilled British nationals. Key findings include the following: (1) there is more evidence about the business cycle having an impact on employment and unemployment outcomes for those highly skilled workers who have greater access to the UK labour market and welfare system (i.e. British, Old EU, and A8 nationals); and (2) better economic conditions relate to a higher probability of self‐employment for British nationals and to a lower probability of self‐employment for A8 nationals. Copyright © 2014 John Wiley & Sons, Ltd.