The subjective well‐being (SWB) of migrants is an important topic, while the research from the perspective of community choice is relatively rare. Using China Migrant Dynamic Survey, this study shows that migrants’ community choice is significantly positively associated with their SWB. The SWB level of migrants living in commercial housing, work unit housing, affordable housing, and urban villages is higher than migrants living in old housing communities, even after controlling endogeneity problems by using PSM and IV estimations. Based on utility theory, social capital theory, and social stratification theory, the in‐depth analysis reveals that living in different communities has varied underlying mechanisms on migrants’ SWB. Migrants living in commercial housing, work unit, and affordable housing have more local neighbors, participate in more social or community activities, spend more on local invitations and gifts. And their self‐identity is higher. These can improve their happiness level. However, migrants living in urban villages have different mechanisms, they interact more with homogenous groups (such as relatives, compatriots, or friends who migrate and work together) and seek more help from these groups, and also increase expenditures on local invitations and gifts to increase their SWB.