Free Movement of people is a fundamental principle of the European Union (EU). In a context of strong divergence in employment and working conditions among EU member states, migration can be seen as a way to increase employment opportunities but also to escape from poor working conditions at home. In this article, we focus on the possible influence of employment vulnerability by comparing its individual level among migrants and native workers in EU countries. We implement propensity score matching methods using data from the European Social Survey (2008) and indexes of employment vulnerability proposed by Bazillier et al. (2014). Overall, we show that migrants face the same level of employment vulnerability than 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 while high-skilled migrants face a higher level of vulnerability, because of a higher level of job vulnerability.