This study examined whether students’ sense of belonging at school (SOBAS) differed across attributes of countries, families, schools, teachers, or students. Multilevel analyses of survey and test data from 193,073 15-year-old students in 41 countries yielded four main findings. First, students in more egalitarian cultures often had higher SOBAS than those in more hierarchical cultures. Second, the teacher–student relationship had the strongest link with SOBAS and mediated the link between egalitarianism and SOBAS. Third, collectivism was not significantly linked to SOBAS. Finally, family characteristics (immigrant status, language spoken at home, socio-economic status [SES], books at home, family wealth, and family communication), schoolmates’ characteristics (SES and social communication), teacher characteristics (teacher–student relationship, teacher support and disciplinary climate), and student characteristics (reading achievement, self-efficacy, and self-concept) were also linked to students’ SOBAS and accounted for most of its variance. This ecological model shows how attributes at multiple levels are related to SOBAS.