Entrepreneurial activity of immigrants is a fairly new phenomenon for Russian reality which explains both the paucity of empirical works and the practically absence of a holistic view of theoretical and methodological foundations for such studies in Russian social science. The article aims to fill this gap and offer an analytical overview of the main foreign theoretical approaches to the immigrant entrepreneurship. The review is structured according to the main thematic issues in connection with which as a rule the peculiarities of immigrant entrepreneurship are discussed, which distinguish them from other types of entrepreneurship. The article sequentially examines approaches to the study of factors, group and individual characteristics of immigrants that promote or limit the development of their entrepreneurial activity; special attention is paid to the history of the study and (re)assessment of the role that ethnicity plays in migrant entrepreneurship; finally, the spatial aspect of the entrepreneurial activity of migrants is analyzed. Among the theoretical approaches special attention is paid to interactive theory, theory of mixed embeddedness, theory of ethnic economics, concepts of middleman, enclave economy, positioning, scaling and placement, as well as more modern concepts of glocalized networks, multifocality and transnational mixed embeddedness.