In the 2000s, and with natural population growth rates close to zero, Spain experienced an inflow of almost 5 million immigrants. These new Spanish residents did not tend to locate evenly across the territory and contributed to putting pressure on the already large spatial population imbalances between cities and rural areas, between the coast and the interior and between the central and peripheral areas. Covering the whole Spanish territory and using the 804 Spanish local labour markets as units of analysis, the objective of this paper is to analyse the local determinants of the attractiveness of a place for immigrants. The estimation of geographically weighted regressions (GWR) shows the necessity of including spatial heterogeneity in the analysis, as the effect of the traditional factors explaining immigrant concentration processes—such as job‐related characteristics or the networks established by previous immigrants—exert different and even contrary effects across the Spanish territory. Although global estimations would reject the significance of agglomeration economies or the relative location of a place, the adoption of the GWR approach shows that these regional economic factors are key to understanding the geographical concentration of immigrants in Spain but show different—even contrary—responses across space. Spatial heterogeneity supports the idea that any national/regional policy to enhance (or contain) immigrant concentration should be designed a la carte and be implemented at the local level.