Whereas the relationship between unemployment and life satisfaction has well been documented at both individual and contextual levels, much less scholarly attention has been paid to whether or not and how these two levels would play a joint role. With a focus exclusively on immigrant men, we examine this topic from a cross-level perspective that contains two layers of interactions – between host- and home-country levels and between contextual and individual levels. We identify two contextual factors that are of importance in perceptions of unemployment. Collective work ethic shapes individual values about work, directly associated with the extent to which one would internalize the experience of unemployment as a personal failure. Contextual unemployment rate indicates the tightness of the labour market environment, directly associated with the extent to which one could externalize the experience of unemployment as a generalized phenomenon. Based on data from the European Social Survey from 2010 to 2017, we show that at least for immigrant men, host-country contextual characteristics worsen the negative relationship between individual unemployment and life satisfaction, whereas those at the home country side alleviate it. Further cross-level investigations show that collective work ethic in one’s countries of residence and origin operate in parallel, with the home country side playing a dominant role. By contrast, unemployment rates of one’s countries of residence and origin interact with each other, in addition to a significant interaction between individual and contextual unemployment. A high unemployment rate in the host country serves as a reason for one to attribute his unemployed experience externally, only when the unemployment rate in his home country is also high. Otherwise, a high unemployment rate in the host country is more likely to worsen life satisfaction of unemployed immigrant men, due to the increasing difficulty of reemployment.