This article provides the first empirical evidence about the role of uncertainty in international return migration decisions using high-quality and detailed micro-data that cover migrants who were observed in both the source country before emigration and in the host country subsequent to immigration. We find that uncertainty in the initial migration decision might be an important driving mechanism behind the decision to return migrate, because migrants with a worse-than-expected outcome in the host country upon arrival and shortly thereafter have a notably higher probability of return migration than other migrants.