One of the most salient evolutions of labour markets in Europe is the increasing number of atypical job contracts (fixed-term contracts, temporary work) and an augmentation of job turnover. These phenomena weaken the relationship between employers and employees. The concept of employment vulnerability may be accurate to describe current evolutions. Our paper provides a set of new indicators of employment vulnerability for European countries. In the context of an important mobility of workers between European countries, emigration could be seen as a way of escaping from employment vulnerability in the country of origin. In this paper, we would like to test this hypothesis by comparing individual levels of employment vulnerability between migrants and native workers. We implement propensity score matching methods on the European Social Survey (2008). Overall, we show that migrants face the same level of employment vulnerability as natives, all other things being equal. But there are strong differences by skill-level. Low-skilled migrants have a lower level of vulnerability mainly because of a lower level of employer vulnerability. On contrary, high-skilled migrants face a higher level of vulnerability mainly explained by a higher job vulnerability.