We review the literature on determinants of ethnic/national self-identities and self-esteem as a prelude to examining these outcomes among a large, statistically representative sample of second generation adolescents in Madrid and Barcelona. While these psycho-social outcomes are malleable, they still represent important dimensions of immigrant adaptation and can have significant consequences both for individual mobility and collective mobilizations. Current theories are largely based on data from the USA and other Anglophone countries. The availability of a new large Spanish survey allows us to test those theories in an entirely different socio-cultural context. The analysis concludes with a structural equations model that summarizes key determinants of national identities and self-esteem among children of immigrants in Spain. Theoretical and practical implications of these findings are discussed.