We develop a theory of the process of assimilation—what immigrants do with their time—that generates the results on outcomes that have occupied the attention of the economics literature for decades. The theory is based on the notion that assimilating activities entail fixed costs, so that immigrants will be less likely than natives to undertake them, but will spend more time on them conditional on undertaking them. We identify several activities as assimilating—purchasing, education and market work—and test the theory using the 2004-2008 American Time Use Survey. The results support the theory quite strongly. Additional tests suggest that the costs of assimilating derive from the costs of learning English and from the immigrant’s unfamiliarity with an advanced market economy. A replication using the 1992 Australian Time Use Survey yields remarkably similar results.