This paper explores loneliness as it is understood and experienced by adolescents, with a special focus on the importance of their migration status. We recruited students from five schools following a maximum variation sampling scheme, and we conducted 15 semi-structured, individual interviews with eighth-grade adolescents (aged 14–15 years) that were immigrants, descendants, and with a Danish majority background. A thematic analysis was applied with a special focus on differences and similarities in understanding and experiencing loneliness between adolescents with diverse migration status. The results showed more similarities than differences in loneliness. Generally, loneliness was described as an adverse feeling, varying in intensity and duration, and participants referenced distressing emotions. Feeling lonely was distinguished from being alone and characterized as an invisible social stigma. A variety of perceived social deficiencies were emphasized as causing loneliness, emerging in the interrelation between characteristics of the individual and their social context. The results add to the current literature by highlighting that it is not the presence of specific individual characteristics that causes loneliness; instead, loneliness is dependent on the social contexts the individual is embedded in. Differences across migration status were few and related to variations in the adolescents’ individual characteristics. The findings highlight the importance of (1) studying the characteristics of both the individual and the social context in research on the antecedents to adolescents’ loneliness, and (2) applying this perspective in other studies on the importance of migration status.