The table below shows the native-born and foreign-born male unemployment rates in all the Western OECD countries for which data were available. Countries are ranked by the gap. Data, which are for the year 2013, were taken from the OECD. (For some reason, it was only possible to obtain both native- and foreign-born unemployment rates for men.)
Intriguingly, all the Eastern European and Anglo countries are clustered at the top of the list, while all the Mediterranean countries are clustered at the bottom; the Continental countries and the Nordics are clustered in the middle, except Sweden, which is fourth from bottom. The only countries with both a small gap and relatively low overall unemployment are the four Anglo countries plus the Czech Republic. It would of course be interesting to see these figures for 2015, but they don't seem to be available yet.