How do migrants become part of a national community and feel a sense of belonging to that country? Whilst migrants' educational level is considered key in doing so, survey studies conclude that higher-educated migrants experience a low sense of belonging to the residence country. This has been dubbed theintegration paradox.We draw from in-depth qualitative biographical interviews with highly-skilled Turkish migrants in the Netherlands to contribute to understanding how this so-called paradox can come about. Purposeful sampling from the New Immigrants Survey allows for rich data that reflect those who, according to the survey, experience a paradox (N = 15) and those who do not (N = 17). First, we find that some migrants interpret national belonging in more complex ways than was intended by often-used survey items measuring this concept. Many highly-skilled migrants experience little belonging to a single nation, but instead identify with a supranational entity. Some self-identified world citizens are therefore categorised as 'paradoxical' because they experience belonging nowhere in specific. Second, we find multiple conditions that structure (non-)belonging, such as experiencing non-belonging due to exclusion from both Dutch and Dutch-Turkish communities, and might explain the paradox. These insights shed new light on the mechanisms underpinning the integration paradox.