This article sheds light on the important differences in self-declared happiness across countries of similar affluence. It hinges on the different happiness statements of natives and immigrants in a set of European countries to disentangle the influence of objective circumstances versus psychological and cultural factors. The latter turn out to be of non-negligible importance in explaining international heterogeneity in happiness. In some countries, such as France, they are responsible for the best part of the country's unobserved idiosyncratic source of unhappiness. Early schooling plays an important role in shaping these attitudes. I show that these gaps in self-declared happiness have a real emotional counterpart and do not boil down to purely nominal differences.