The literature on 'second-generation migrants' has widely viewed ethnicity as the key marker of identity formation. This article explores the identification processes of Albanian-origin teenagers in Thessaloniki, investigating whether, when and why ethnicity plays a role in these processes. The paper draws upon data from 28 in-depth interviews and one focus group with teenagers, alongside participant observation involving families, schools and immigrant organisations. The findings show that youth of migrant origin construct their identities within intersecting simultaneous transnational, national and local dynamics and alongside a public-private divide. More specifically, youth culture, a city/urban identity, and emotional ties that bind peer groups and family and kin within and across the national borders provide important sources of identification. These strategies are partly indicative of a weak ethnic agency -- the ability of people to change the conditions around them by relying on the belief in a shared common past and common destiny with co-ethnics, and the assertiveness that comes with this belief. Nonetheless, in the local, multi-scalar forms of political and cultural power intersect within people's daily lives, while this multiplicity of sources of identification calls for a closer look at the linkages between the local, the national and the global.