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This paper looks at the migrants' occupational integration process. Two main theoretical perspectives are tested: the first one (assimilation view) claims that in the short-run migrants are penalized, but as they settle in the receiving country they get integrated into the host society; the second one (segmented assimilation view) claims that disadvantages persist in the long-run. EU-LFS and ESS data are described and modelled, in order to compare the labour market performances of migrants in four European old-receiving countries (Germany, France, Great Britain and Sweden) and in two new-receiving countries (Spain and Italy) both in a short-term and in a long-run perspective. We find that a) in the short-run, migrants' labour market condition is worst with respect to the natives; b) this gap decreases with older migrants; c) the ethnic penalty disappears with the second generation, when they achieve a level of education comparable to that of the natives. [ABSTRACT FROM AUTHOR]