Political debates about immigration provoke strong nationalistic pushback from citizens, constraining the policymaking capacity of states. This paper investigates to what extent labour market policies shape economically motivated preferential divides among European citizens. On the one hand, I concentrate on prospective job loss threats indicative of economic grievances and assess the impact of unemployment risk exposure on immigration policy attitudes. On the other hand, as the original contribution of the paper, I contend that, if such an economically motivated explanation holds, this relationship should vary based on the labour market institutions in each country. Multi‐level analyses of 16 European countries over a decade since 2002 reveal a remarkably robust relationship between unemployment risks and more restrictive immigration policy attitudes. Importantly, more protective employment regulations seem to have a dampening effect on the impact of job loss threats on immigration policy attitudes. Conversely, there are larger attitudinal divides between the risk‐exposed and the more secure workers in countries with generous and expansive unemployment compensation policies. Overall, the paper helps explain the cross‐national variation in economically motivated cleavages about immigration policy attitudes in Europe.