Characterizing major sustainability issues as ‘grand challenges’ has led to a call for collaboration among heterogeneous stakeholder groups, not least in multi‐stakeholder initiatives (MSIs). Research into MSIs has made substantial progress in understanding their workings; yet, it is still criticized for remaining undertheorized, echoing a criticism of management studies generally as paying insufficient attention to the micro–macro divide. Hence, we examined differences between stakeholder groups in the complexity of their cognitive frames on the topic of sustainability. We analysed 265 cognitive frames across four stakeholder groups (business, government, NGO, education). Analysing these frames in terms of the two dimensions of cognitive complexity—differentiation and integration—we found statistically significant differences in frame complexity between stakeholder groups. These micro‐level cognitive differences can explain macro‐level problems in stakeholder engagement and communication. Hence, we conclude by discussing the implications of our findings for the enhancement of the effectiveness of MSIs.