In this age of human mobility, refugees face increased politicisation of their migration. Instead of being victims of the present and the past, refugees live their lives proactively. On the basis of ethnographic fieldwork among Chechen refugees in Poland, this paper concerns the relation between the political and socio‐economic context and migrants' agency. In particular, the paper explores how a shared sense of loss and trauma, refugees' deportability and subordinate inclusion within Poland and the European Union, and a collective experience of exploitation and racism shape migrants' proactive existence. The paper provides a detailed ethnographic account of the circumstances under which refugees are likely to distance themselves from the local people and host society while developing a strong sense of shared identity and collective morality.