Migration is a highly complex and uncertain process that has the potential to have large impacts on societies around the world. One key driver of this complexity and uncertainty is the autonomous agency of the actors involved, particularly the decision-making processes of potential migrants. Most theories and models rely on simplistic decision rules or a decision-making process that assumes rational agents. However, a considerable body of research in psychology and behavioural economics raises doubts about such assumptions. To inform the description of migration decision processes, we elicited and compared non-parametric utility functions for both finance and international migration decisions. This allowed us to directly test, using individual-level experimental data, whether the aspects of prospect theory that are commonly found in utility functions elicited within a financial context are also present for migration decisions. Across both financial and migration-related contexts, we found that participants were generally loss-averse and their utility functions were concave in the domain of gains. However, findings for convexity in the domain of losses were mixed. This evidence of loss aversion, risk aversion, and diminished sensitivity further from the reference point suggests that migration decision-making is more consistent with the key tenets of prospect theory than with expected utility.