The key question of this paper is whether social integration, both for minority (migrants) and majority groups (natives) in Western Europe, varies across contexts of exit (ethnic origins) and contexts of reception (Western European countries); and if so, how does religious identity and practice serve to mediate these contextual differences? To investigate this question I draw on the international comparative dataset EURISLAM which includes comparisons between Muslim migrants of ex-Yugoslav, Turkish, Moroccan and Pakistani origin with majority group members of Belgium, Britain, Germany and Switzerland. Social integration is measured through attitudes towards intermarriage across Muslim/non-Muslim lines. As results show, ethnic groups differ in their probabilities to approve of intermarriage. Especially migrants from the former Yugoslavia encounter a significantly lower approval of intermarriage by natives. However, approval of intermarriage is closely tied to religiosity. Once religiosity is controlled for, all migrant groups become significantly more positive about intermarriage than natives. Following theories on in-group favouritism and the homophily principle, we find that religious identity among migrants and practice among both natives and migrants are associated with reluctance to intermarry. Policy makers are advised to take note that contextual differences in perceived social integration of immigrant groups could be confounding other factors, including how differences in religiosity affect social integration. Migrants' significantly higher approval of intermarriage after controlling religiosity implies that policy makers may conceivably have to shift attention from migrants to natives and undertake some action in order to enable a greater intercultural understanding.