The relationships between police and minorities have received increasing interest in many Western societies in recent years. We examine first-generation immigrants’ trust in the police in Europe from a comparative and longitudinal perspective. On the contextual level, we test the impact of police size on trust and, on the individual level, we analyze the role of assimilation processes and discrimination experiences. We draw upon data of roughly 21,500 immigrants observed in 24 countries over 13 years contained in the European Social Survey. Results show that immigrants in countries with more police trust the police less, which is partly, but not fully, explained by cross-national differences in crime, rule of law, and GDP. However, there is no longitudinal effect of police size within countries, mostly because the national police size hardly changes over time. On the individual level, we show that initially high levels of trust in the police among immigrants tend to erode with length of stay in a country. We argue that two simultaneous processes drive this pattern: A fading reference effect (downward assimilation) and an increasing discrimination effect. We discuss implications for future research and policy development based on this reasoning.