Little information concerning social disparities in adolescent dietary habits is currently available, especially regarding migration status. The aim of the present study was to estimate socioeconomic disparities in dietary habits of school adolescents from different migration backgrounds. In the 2014 cross-sectional “Health Behavior in School-Aged Children” survey in Belgium, food consumption was estimated using a self-administrated short food frequency questionnaire. In total, 19,172 school adolescents aged 10–19 years were included in analyses. Multilevel multiple binary and multinomial logistic regressions were performed, stratified by migration status (natives, 2nd- and 1st-generation immigrants). Overall, immigrants more frequently consumed both healthy and unhealthy foods. Indeed, 32.4% of 1st-generation immigrants, 26.5% of 2nd-generation immigrants, and 16.7% of natives consumed fish ≥two days a week. Compared to those having a high family affluence scale (FAS), adolescents with a low FAS were more likely to consume chips and fries ≥once a day (vs. <once a day: Natives aRRR = 1.39 (95%CI: 1.12–1.73); NS in immigrants). Immigrants at schools in Flanders were less likely than those in Brussels to consume sugar-sweetened beverages 2–6 days a week (vs. ≤once a week: Natives aRRR = 1.86 (95%CI: 1.32–2.62); 2nd-generation immigrants aRRR = 1.52 (1.11–2.09); NS in 1st-generation immigrants). The migration gradient observed here underlines a process of acculturation. Narrower socioeconomic disparities in immigrant dietary habits compared with natives suggest that such habits are primarily defined by culture of origin. Nutrition interventions should thus include cultural components of dietary habits.