Our study utilizes the unique Integrated Values Survey (IVS) dataset, which combines the European Values Study and the World Values Survey, and uses econometric modelling to examine how personality traits relate to self-employment decisions amongst natives, as well as first-generation and second-generation immigrants from 2010 to 2021. We contribute to the literature by focusing on personality traits, as well as literature on immigrant entrepreneurship, particularly for the Organization for Economic Co-operation and Development (OECD) countries. To the best of our knowledge, our study is the first to use the IVS dataset, a large multi-country dataset for such analyses. We further focus on different categories of self-employment, including self-employment with and without employees, and examine their determinants. The evidence indicates that risk-taking and innovation indicators are conducive to self-employment. Our study also notes how the association of education and self-employment differs between natives and immigrants.