The COVID-19 pandemic and concomitant policy measures have disproportionally affected the lives of migrants worldwide. Focusing on inequalities between social groups, studies have tended to neglect the role of local embeddedness as a factor influencing the extent to which individuals are affected by COVID-19. In this paper, we study the vulnerabilities of people with different migration experiences in an urban setting in the early stages of the pandemic, focusing on three key livelihood assets: economic, social, and human capital (health). Our analyses are based on online survey data (n = 1381) collected among international migrants, second-generation residents (those with at least one parent born abroad), and non-migrants residing in Amsterdam in July 2020. We find that international migrants, and particularly those who arrived in the city more recently, reported larger shocks to their economic and social capital than other city residents. This finding illustrates the vulnerabilities of “newcomers” to the city and their limited resilience to shocks. Second-generation residents were particularly vulnerable in terms of health, but this relationship was strongly mediated by education and neighborhood effects. In all three groups, those with poor relative wealth and those who were self-employed were more vulnerable to economic shocks. Our findings illustrate how the COVID-19 pandemic has exacerbated inequalities in vulnerabilities across migrant and non-migrant groups, and how those who were locally embedded, including migrants and non-migrants, were less likely to be negatively affected by the pandemic.