AbstractMigrants are often perceived as a group of vulnerable victims, especially within a legal context such as the one in this study: lawyer–client consultations in the field of immigration law. The literature describes how institutional limitations often translate into asymmetric lawyer–client dynamics. The linguistic‐ethnographic data gathered for this study shows, however, that the reality is more complex. In operationalizing the concept of agency, this study focuses on the dynamic‐relational nature of power differences, which implies a move away from the binary conceptualization of structure and agency. The ethnographic lens helps to unpack agency and reveals a picture of strategic behaviour that is contextually embedded and multi‐layered. In this light, the performance of agency and vulnerability is shown to be (1) interactionally achieved, (2) indicative of an awareness of macro‐level processes, and (3) reflective of the philosophy behind the authorities’ migration management.