European societies have been experiencing increasing rates of immigration in recent decades. At the same time one can observe a substantial rise in anti-foreigner sentiments. In this study we investigate the effect of human values on attitudes towards immigration. We hypothesise that self-transcendent individuals are more supportive of, and conservative individuals are more adverse to, immigration. We do not expect large differences in the effect of values across contexts. To explain cross-country and cross-time differences we use group threat theory, according to which larger inflows of immigration combined with challenging economic conditions impose a threat on the host society, resulting in more negative attitudes towards immigration. To test our hypotheses we use data from the first three rounds of the European Social Survey (2002–03, 2004–05 and 2006–07) and multilevel analysis. Prior to the interpretation of the results, we guarantee that the concepts display measurement invariance across countries and over time. Our results largely confirm our hypotheses regarding the role that values play in the explanation of anti-immigration attitudes.