This paper explores the cross-national variation in the gap in university expectations between native and second-generation immigrant students and whether it is moderated by characteristics of the country of residence of children of immigrants. Three domains have been considered at the national level: the context of reception of immigration (legal status of non-national immigrants and views about immigration of the local population); labour market segmentation and education systems (external differentiation). The study tests the general hypothesis that settings that enhance individual autonomy and widen room for choice by removing formal and informal barriers that migrants and their descendants face in everyday life and in specific domains (education and labour market) are associated with a larger gap in university expectations that is favourable to children of immigrants (a larger 'immigrant advantage'). Applying a two-stage analysis to PISA 2015 data, results provide overall support for this hypothesis. More welcoming contexts of reception are associated with a larger immigrant advantage. External differentiation is negatively associated with it, both for students attending general and vocational tracks, especially the latter, as compared to non-tracked students attending common tracks. There is not a robust association between labour market segmentation and the university expectations' gap.