Although a number of studies in many countries have investigated the impact of the ethnic and socio-economic composition of schools on academic performance, few studies have analyzed in detail how and why compositional features matter. This article presents an examination of whether pupils’ sense of futility and schools’ futility culture account for the impact of ethnic and socio-economic status (SES) composition of schools on the academic achievement of their pupils. Multilevel analyses of data based on a survey of 2,845 pupils (aged 10–12 years) in 68 Flemish primary schools revealed that higher proportions of immigrant and working-class pupils in a school is associated with lower levels of math achievement in both immigrant and native Belgian pupils. However, by analyzing at a deeper level, by taking control variables into account, our study found that the ethnic composition of the school no longer had a significant effect on pupils’ achievement, while the SES composition still did. Most importantly, our results indicated that the remaining impact of SES composition can be explained by pupils’ sense of futility and schools’ futility culture. The implications of these findings for educational policy are discussed.