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Ethnic achievement gaps are inherently interpreted as a student-level phenomenon that can be explained by student, school or district characteristics. For example, the reduction of the gaps when conditioning on socioeconomic status (SES) is commonly interpreted as an indicator that SES at least partially explains the gap. This paper shows that studying ethnic achievement gaps as a multilevel phenomenon uncovers complex links among different levels of the school system (students, schools and districts) that are behind these findings. Using census data for Colombian high-school students, we show that SES and other variables explain the gap through school and district-level mechanisms and only minorly through student-level processes. Such findings call for rethinking policies that are often suggested to tackle ethnic inequality.