This study contributes to a deeper understanding of the complex relationship between migration, integration, and self-employment across European Union countries. Migration presents multifaceted challenges for host societies, particularly in terms of social cohesion and inclusive development. The Action Plan on Integration and Inclusion (2021-2027) emphasises the importance of migrant entrepreneurship in enhancing livelihoods and promoting sustained economic growth. However, empirical evidence on how integration shapes migrant entrepreneurship remains scarce, especially concerning the role of ethnic diversity. This research aims to fill this gap by examining the link between self-employment, integration, and ethnic concentration, distinguishing between migrants originating from European Union and non-European Union countries and further disaggregating the analysis by gender. It also investigates whether ethnic concentration mediates the effects of integration on migrant self-employment. Findings suggest that the relationship between integration and self-employment is multifaceted, with ethnic concentration having a significant influence and sometimes reversing this correlation.