This study contributes to the literature on immigrants’ perceived discrimination in two ways. First, while earlier work focused on personal or group-level discrimination, this paper develops and tests a theory of perceived societal discrimination, i.e., immigrants’ perceptions of how prevalent different types of discrimination are in their society. Importantly, immigrants’ views of societal discrimination encompass ‘out-group empathy’, i.e., beliefs about the frequency with which out-groups experience discrimination. Second, whereas existing literature relied on single-country designs, this study provides a cross-national examination, offering insights into the effects of country-level conditions on perceived discrimination. Based on survey data from 12,000 first- and second-generation immigrants in 17 European countries, results show differences between minority groups, with Muslim immigrants perceiving higher religious discrimination and black immigrants being more attuned to skin color discrimination in society. The study further reveals a positive association between immigrant integration and perceived societal discrimination. Evidence suggests that this ‘integration paradox’ holds for both Muslim and non-Muslim immigrants, black and non-black immigrants, and also for Muslim immigrants who wear traditional religious clothing and those who don’t. Finally, the study supports the ‘Tocqueville paradox,’ indicating that in countries with more extensive anti-discrimination laws, the relationship between integration and perceived societal discrimination is amplified.