In the last decades, Western societies have witnessed large scale migration from the Global South. This large-scale migration has brought about important challenges in securing the social, civic, and political integration of non-Western immigrants into Western societies. The previous research suggests that participation in volunteering within civil society can serve as a 'stepping stone' towards integration for immigrants. However, the previous research has shown marked gaps in the propensity to participate in volunteering between immigrants and natives, but little work has been done to identify the mechanisms that explain these gaps. In this study, I use high-quality survey data that are linked with data from administrative registers, to which I apply logistic regression based on the Karlson-Holm-Breen (KHB) method to conduct mediation analysis. The mediation analysis shows that non-Western immigrants are significantly less likely to participate in secular volunteering compared to natives; however, over half of this gap is explained by an indirect effect via socioeconomic status, self-rated health, generalized trust, informal social networks, and the intergenerational transmission of volunteering. Moreover, the mediation analysis suggests that non-Western immigrants are more likely to participate in religious volunteering; however, this gap is completely explained by a strong indirect effect via religiosity.