The level of self-employment among immigrants is often higher than among natives. The purpose of this paper was to test empirically whether selective migration with respect to entrepreneurial characteristics may explain this difference. The relevant hypotheses were tested comparing representative samples of Russian immigrants in Norway and their stay-at-home counterparts. Data from the Russian population came from the 2008 GEM study, while data on Russian immigrants in Norway were collected through a specially designed postal survey. The analysis revealed some demographic dissimilarity between the two groups, as well as a presence of selective migration with respect to entrepreneurial characteristics. This study demonstrates that immigrants (as compared to non-migrants) are more likely to report intentions to start a business. Moreover, they possess relatively large amount of specific human capital, social capital and self-confidence relevant for entrepreneurship. The paper concludes with proposed practical implications and suggestions for further research.