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There has been a strong degree of interest over the last 30 years towards immigrant segregation in Europe. This paper aims to contribute towards the existing body of research by extending the multi-scalar analysis of patterns of immigrant residential segregation into a coherent international comparative study of cities of different sizes. We investigate the patterns of immigrant-native segregation at different geographical scales, along with their correlates, in more than a hundred cities in 2011 across Germany, Spain, Sweden, the Netherlands, and the United Kingdom. Our findings suggest that cities in the UK are the most highly segregated in Europe. The positions of the other countries in the ‘European segregation ranking’ depend upon the considered immigrant group and spatial scale. The national context is consistently the most important factor in understanding segregation at multiple spatial scales. However, even while taking into account the national contexts, the structural-ecological factors remain important predictors of segregation patterns in Europe.