This article expands on the discussion of social and cultural factors for refugees’ feelings of belonging in the receiving society and assesses democratic, civic, and moral values as predictors of belonging. On the one hand, existing research considers shared values between refugees and the receiving society as hallmarks of integration. From this perspective, shared values (or value consensus) are considered predictors of refugees’ feelings of belonging and the formation of social bonds with host-country citizens. On the other hand, values are seen as part of refugees’ cultural capital. From this perspective, liberal and civic value contents, in particular, may promote feelings of belonging, irrespective of whether these values are widely shared with citizens of the host society. This article investigates these contrasting hypotheses, using data from a representative panel of refugees in Germany. Results show that refugees holding liberal democratic values are more likely to experience feelings of welcome in the receiving society. When operationalizing belonging also in terms of refugees spending time with host-country citizens, shared democratic and secular values become more important. Finally, this article suggests that the effect of value consensus on refugees’ feelings of welcome is mediated by how much time refugees spend with host-country citizens members. Taken together, our findings emphasize that in the context of international migration, values are important hallmarks of social integration, although this should not be reduced to popular calls for shared values between immigrants and host-country citizens.