Purpose This paper aims to review the immigrant entrepreneurship literature to locate how researchers consider embeddedness to home and host countries beyond the "embedded" or "not" dichotomy. Design/methodology/approach The paper conducts a systematic literature review. The authors found 106 articles in the Scopus and Web of Science databases, using a structured search and selection protocol. Findings Few articles perceive embeddedness openly as a gradual phenomenon. However, articles in the review use different approaches for considering relative levels of embeddedness, such as depth of social ties. In addition, some articles take a dual perspective or make multi-contextual comparisons to acknowledge immigrant entrepreneurs' embeddedness levels. These articles emphasise embeddedness as a gradual phenomenon to understand the complexity of immigrant entrepreneurs' contextualisation better. Based on the review, the paper develops a model, considering embeddedness as an emergent result of the immigrants' engagement with spaces, networks, markets and institutions of a given home or host context. It also accounts for the dynamic interaction between contextual factors as embeddedness levels change. Research limitations/implications The paper has located all relevant papers in the used databases. However, the systematic review protocol naturally limits its scope. Nevertheless, the developed model based on the review helps researchers develop a more comprehensive understanding of embeddedness and possibly ask novel questions. Social implications This paper can help policymakers improve their policies for the progressive social integration of immigrants, as it helps consider different embeddedness levels. Originality/value Researchers mainly consider individuals' embeddedness as either "embedded" or "not." However, we can also understand embeddedness at various levels, e.g. partial, increasing/decreasing and gradual. Significant changes occur in the embeddedness of individuals during immigration. Additionally, contextual relations intertwine immigrants' entrepreneurial activity over time. The paper reviews embeddedness in the immigrant entrepreneurship literature, searching beyond the dichotomic use of embeddedness. Then, it develops a theoretical understanding of embeddedness levels.