The objective of this study was to describe breastfeeding practices and to compare the risk of suboptimal breastfeeding of women living in Denmark according to country of origin, and further to examine how socio-economic position and duration of stay in the country affected this risk. Information on breastfeeding of 42,420 infants born 2002–2009 and living in eighteen selected Danish municipalities was collected from the Danish Health Visitor’s Child Health Database. The data was linked with data on maternal socio-demographic information from Danish population-covering registries. Suboptimal breastfeeding was defined as <4 months of full breastfeeding as described by the Danish Health and Medicines Authority. We used logistic regression to model the crude associations between suboptimal breastfeeding and country of origin, and taking maternal age and parity, and a variety of parental socio-economic measures into account. Suboptimal breastfeeding was more frequent among non-Western migrant women than among women of Danish origin. Women who were descendants of Turkish and Pakistani immigrants had a higher risk of suboptimal breastfeeding as compared to the group of women who had migrated from the same countries, suggesting that acculturation did not favor breastfeeding. For all but the group of women who had migrated from Pakistan, adjustment for socio-demographic indicators (age, parity, education, attachment to labour market, and income) eliminated the increased risk of suboptimal breastfeeding. There was no evidence for differences in the breastfeeding support provided at hospital level according to migrant status. Suboptimal breastfeeding was more frequent among women who were non-Nordic migrants and descendants of migrants than among women with Danish origin.