The concept of self is central to personhood, but personality research has largely ignored the relevance of recent advances in self‐concept theory: multidimensionality of self‐concept (focusing instead on self‐esteem, an implicit unidimensional approach), domain specificity (generalizability of trait manifestations over different domains), and multilevel perspectives in which social‐cognitive processes and contextual effects drive self‐perceptions at different levels (individual, group/institution, and country) aligned to Bronfenbrenner's ecological model. Here, we provide theoretical and empirical support for psychological comparison processes that influence self‐perceptions and their relation to distal outcomes. Our meta‐theoretical integration of social and dimensional comparison theories synthesizes five seemingly paradoxical frame‐of‐reference and contextual effects in self‐concept formation that occur at different levels. The effects were tested with a sample of 485,490 fifteen‐year‐old students (68 countries/regions, 18,292 schools). Consistent with the dimensional comparison theory, the effects on math self‐concept were positive for math achievement but negative for verbal achievement. Consistent with the social comparison theory, the effects on math self‐concept were negative for school‐average math achievement (big‐fish‐little‐pond effect), country‐average achievement (paradoxical cross‐cultural effect), and being young relative to year in school but positive for school‐average verbal achievement (big‐fish‐little‐pond effect—compensatory effect). We demonstrate cross‐cultural generalizability/universality of support for predictions and discuss implications for personality research. © 2020 European Association of Personality Psychology