Russia is one of the world’s largest migrant-receiving countries. The recession of recent years, changes in labor market and immigration policies, and an increase in anti-foreign sentiment have directly affected immigrants’ lives in Russia. This has been reflected not only in how immigrants find employment and housing in the country but also in how they perceive Russia as a country in which to work and live. This article analyzes remigration as a coping strategy of Afghan immigrants in Russia. These immigrants face severe everyday difficulties as irregular migrants and suffer discrimination and uncertainty. Despite their low status and vulnerability, we argue that Afghan immigrants still have agency, evident in how they interpret and live in the Russian anti-immigrant atmosphere. The article is based on stories narrated by Afghan immigrants in Russia and a qualitative content analysis of the asylum application protocols of Afghan asylum seekers in Finland that was produced by the Finnish Border Guard, Police, and the Finnish Immigration Service. A total of 632 Afghan citizens applied for asylum after entering Finland from the Russian Federation along the “Arctic route” between 2015 and 2016.