Having a low sense of belonging in secondary education is associated with feelings of social alienation, lower school performance, and dropping out early. Based on person-environment fit theory, we expect retained students to experience a misfit with their academic environment. This experience could intensify when there are fewer other retained students around. The contextual impact of grade retention on sense of belonging is assessed by cross-national multilevel analyses on PISA 2015 data (25 countries; 7,979 schools; 194,195 students). Overall, results suggest retained students have a significantly lower sense of belonging. The negative association between grade retention and sense of belonging increases in schools and countries with a low number of retained students. This indicates that in schools and countries with a low retention composition, retained students suffer from a lower sense of belonging, because of both their status as a retained student and the absence of other retained students. Implications are discussed.