Sickness absence (SA) reflects both health status and labour-market integration, yet evidence on migrant–native disparities across occupational classes remains limited. Using full-population Finnish administrative registers, we examined SA prevalence among working-age migrants and natives from 2005 to 2019, stratified by occupational class and diagnostic category. Age-adjusted prevalence and relative risks were estimated for all-cause SA and for musculoskeletal, mental disorder–related, and injury-related SA using modified Poisson regression adjusted for sociodemographic factors. SA declined during the study period, except among lower non-manual workers. Across occupational classes and diagnostic groups, migrants consistently exhibited lower SA prevalence than natives. Both populations showed clear occupational gradients, with manual workers, lower non-manual employees, and the unemployed experiencing the highest SA risks. Occupational disparities widened over time, particularly among migrant men. Among unemployed migrant men, the relative risk of all-cause SA increased over the study period. Occupational disparities were generally more pronounced among men than women. Occupational class remains a key factor influencing SA among both natives and migrants in Finland, with significant differences based on diagnostic groups and gender. Although migrants generally had lower overall SA rates than natives, they had higher relative risks of SA, especially among the unemployed and manual workers.