Research often finds that immigrants tend to have a different profile from locals regarding confidence in the government. Both the origin's and destination's institutional features can influence immigrants' confidence. Scholars have relied on three major models—the cultural‐persistence model, the performance model, and the dual‐reference model—to explain the possible mechanisms behind this difference. Our research builds on previous studies by expanding the country coverage to explore the heterogeneity in immigrants' confidence. Specifically, we focus on how the level of democracy as an institutional factor is associated with immigrants' confidence. Using integrated datasets from the World Value Survey (WVS, 2017–21) and the European Value Study (EVS, 2017–20) and employing a multilevel model, we confirm that immigrants, on average, tend to have a higher level of confidence in the government. However, their confidence is contingent on institutional performance. In countries with high levels of democracy, the disparity in confidence between immigrants and locals becomes more pronounced. Moreover, the institutional performance in the origin country also influences immigrants' confidence in the government of the destination country. Immigrants constantly compare the institutional performance between the two places. Compared to immigrants from countries with a high level of democracy, immigrants from countries with a lower level of democracy tend to have higher confidence in the destination government. Our results provide support for all three major theoretical models.