Research on the consequences of making attributions to prejudice for the psychological functioning of minority groups is still scare and rather inconsistent. In this study we set out to examine the consequences of making attributions to prejudice in response to social rejection for social wellbeing among immigrants in Spain. We tested this relationship and the mediating effects with representative samples of 1250 foreign-born immigrants who had lived for at least six months in the Basque Country, having been born in Bolivia, Colombia, Morocco, Romania, or Sub-Saharan African countries. The sample was drawn from public records and obtained through a probability sampling procedure by ethnicity with stratification by age and sex. We conducted mediation analyses using structural equation modeling (SEM) to verify whether the perceived ethnic discrimination effect on the five dimensions of social wellbeing was partially or completely explained by the attributions to prejudice. Our results indeed partially revealed that making attributions to prejudice protect social wellbeing form negative consequences of personal discrimination only the dimension of social contribution. In turn, attributions to prejudice explained the negative relationship between perceived discrimination and social acceptance and social actualization: that is, these dimensions of social wellbeing that reflect social trust. We discuss the results integrating social identity, social stigma, and positive psychology framework, through inclusion of societal aspects of wellbeing for measuring immigrants’ adaptation in the host society.