The evolution of globalisation and ensuing internationalisation of higher education need radical reform of institutional policies and practices to promote education for diversity, equity and inclusion. Extant literature on university/college student persistence/retention witnesses a lack of research on the subjective sense of belonging on campus among ethnic minoritised students who have been historically marginalised in higher education and are now part of the emerging demographic on campus. This study attempted to fill the gap. Engaging qualitative individual interviews with 12 university students of South/Southeast Asian ethnicity in Hong Kong, the purpose of this study was to examine their perceptions and experiences of institutional affiliations and engagement in university. Findings suggested that being connected to the programme and university, and the depth and quality of intragroup dynamics, are key to a sense of belonging among ethnic minority students. Findings also elucidated a lack of cross‐cultural interaction and racial/ethnic diversity within the university environment, which shaped participants’ feelings of isolation and exclusionary experiences as they sought to adjust to the campus academically and socially. The study’s findings could help inform the development and evaluation of institutional strategies that can sustain minoritised students in university transitions and promote institutional connectedness and academic success among all students on campus.