In this article on the social processes of integration in adolescents and youth, we describe and explain the factors which, in a representative sample of 413 immigrant adolescents in Huelva, Spain, are linked to having a sense of belonging to Spain. Approximately fifty percent of those interviewed reported a sense of belonging to Spain, although the degree of belonging to this country was lower or non-existent in other cases. This paper attempts to delimit the elements that largely explain the degree of the sense of belonging to a country, which is crucial to understanding the processes of identificative integration. We found several variables linked to the sense of belonging to Spain: life satisfaction, structural opportunities perceived in Spain, orientation towards the Spanish language (monolingual or bilingual), multiple territorial identification, participation in Spanish celebrations and activities, and trust in Spanish people.