The Programme for International Student Assessment (PISA) has identified that one in three Australian students do not feel a sense of belonging to school, yet little research has investigated how the socio-ecological factors are differentially associated with school belonging for immigrant and native-born students. This study investigated the link between school belonging and Individual-Level (Gender, Economic, Social, and Cultural Status, Test Anxiety, Achieving Motivation, Collaboration and Teamwork Dispositions), Microsystem (Parents’ Emotional Support and Teacher Fairness), and Mesosystem factors (Disciplinary Climate) among an Australian stratified sample of 14,530 fifteen-year-old native-born, second- and first-generation students guided by socio-ecological theory of human development. All socio-ecological factors examined were significantly associated with school belonging. Significant differences were found in the association between socio-ecological factors and school belonging across immigration status. It was concluded that test anxiety, teacher fairness and parents’ emotional support were strongly associated with school belonging and there were significant differences across immigration status.