Millennials is the name given to the generation of young people that are currently joining companies and are destined to be the worldwide leaders in the near future. This study analyses how they perceive companies as a workplace. Their specific preferences and personal values could influence organizational behaviour to be more responsible or not. The study is based on 1,833 respondents conducted on millennials from six Ibero–American mixed high‐ and low‐income countries. The results demonstrate that, regardless of whether their profile is more or less individualistic or collectivist, this generation is attracted to sustainable companies. However, differences are detected when the sample is controlled by the wealth of the country of origin. Then, the differences between the individualist and collectivist millennials are accentuated. This article concludes with some useful reflections for human resources departments and management teams in charge of establishing their companies' sustainable policies.