This paper explores a new avenue of the hierarchisation of mobility amongst voluntary and involuntary return migrants to Afghanistan. We introduce the concept of multidimensional and multi-local embeddedness as an analytical approach to the multi-sited experience of migration, which merges transnationalism and integration into one analytical framework. Drawing on an in-depth case study that focuses on the life histories of 35 Afghan returnees from European countries, we argue that socio-economic differences that existed prior to migration are reinforced by the migration experience, which results in strongly differentiated patterns of multidimensional embeddedness and transnational mobility. These patterns reinforce previously existing socio-economic stratification and restrict expectations of return migration and development.