We investigate the divorce patterns among non‐Western immigrants and natives in Denmark. We focus on marriages entered on or after arrival to Denmark and analyze whether inter‐ethnic marriages result in higher divorce rates and whether divorce behavior differs between first- and second‐generation immigrants and native couples. We show that inter‐ethnic couples (one native, one immigrant) in general are more likely to divorce than native couples (two natives), while co-ethnic couples (two immigrants) are less likely to divorce, when controlling for differences in socioeconomic characteristics. In particular, co‐ethnic couples composed of a first‐ and second‐generation immigrant are less likely to divorce, while the divorce probability is the highest among inter‐ethnic couples composed of a native woman and a first-generation immigrant man. The analyses are based on register information from Statistics Denmark for the years 1990–2014.