Incidence of cancer of unknown primary (CUP) varies globally, and environmental factors are suspected to be related to its development. Immigrant studies offer insights into disease etiology, but no studies have been published on CUP. We investigated CUP risk in immigrants to Sweden to search for etiological clues. The nationwide Swedish Family Cancer Database was used to calculate standardized incidence ratios for CUP in the first-generation immigrants compared with native Swedes from 1958 to 2008. A total of 2340 patients with CUP were identified among immigrants during a follow-up of 23 million person-years compared with 30 507 patients with CUP identified in native Swedes who were followed for 260 million person-years, showing an overall standardized incidence ratio of 0.88 (95% confidence interval: 0.85–0.93). The median age at immigration was 28 years for men and 27 for women. Significantly lower CUP risks, ranging from 0.18 to 0.89, were mainly observed among Finnish, German, and Asian immigrants. The decreased risks tended to be lower for women compared with men. Danes of both sexes had an increased risk. The increased or decreased CUP risks observed in this novel study suggested that early life environmental risk factors or genetic factors influence the development of CUP. The risk patterns were modified by sex. The observed differences may give clues about incidence rates in countries of origin for which incidence data are lacking.