If you live in the United States, Australia, New Zealand or any of the other countries settled by Europeans during the colonization period of their history, you will find one of two things happening; either your ancestors ultimately came from Europe or they were indigenous. In the United States, for example, even if your ancestors have roots going back into America in the 1600s, ultimately your ancestors were from someplace besides America. In fact, according to current belief, everyone in North and South America immigrated from somewhere else. So even if your ancestors were indigenous (i.e. so-called Native Americans) ultimately they came from somewhere else.
Since I live in Arizona, I could make a huge number of comments on the currently popular immigration problem in the United States, but in doing so, I would have to point out that the problem started with the second boat load of English immigrants to the Plymouth Colony. Whenever and from where ever the first inhabitants arrived, the next arrivals were a problem. For example, Mexican citizens some of whose ancestors have lived in America since prehistory are an "immigration problem" when they cross an artificially created political boundary. But of course, I want to stay away from anything so politically charged in a blog about genealogy. After all since we are genealogists we can ignore all the immigration issues, can't we?
We define an immigrant as anyone who moves across certain politically defined boundaries either with or without the permission of the dominant government of the time. Depending on your racial or political leanings, this process is either the strength of the nation or its downfall. For that reason, genealogical research can be extremely unsettling and in some cases, disturbing to a family. Your family is either interested and proud to find out they had slave or transported ancestors (criminals) or they are appalled and hostile. One interesting question is whether English settlers in North America before the creation of Canada and the United States were immigrants?
If you live in a country like England, China or Russia, you don't have to worry about where your people came from or if they were immigrants. Do you? Of course you do. Unless all of your ancestors lived in the same place going back into prehistoric times and never intermarried with any other ethnic group, you have to worry about where they came from and how they got where they are today.
As a result of these inevitable facts of origin, every genealogist will confront two situations (or both); researchers will either have to deal with an immigrant ancestor or run out of records going back into the dim past of pre-genealogical records. In the United States, if you have Native American ancestors, commonly called Indians, (whichever you feel is politically correct) you will likely run out of written records sometime in the 1800s if not sooner. Even if you have no indigenous ancestry (whatever that means) in the North America you will ultimately be dealing with an immigrant no earlier than about 1600, unless your ancestors came from Spain, in which case you might get another 100 years or so.
In all this, immigration ought to be a hot topic among genealogists. But we don't want to scare away the beginners, so we certainly don't want them to find out how difficult it can be to trace people who came to a country from somewhere else and especially when they find out their ancestors came from someplace that didn't speak their current language. That could be terminally discouraging.
My point here is that every genealogist should have a working knowledge of the immigration issues in his or her own country. When did people arrive and where did the come from? Why did the immigrants leave their place of origin and how did they travel to the new country? How were they received by the established inhabitants? Who hated who and who killed who?
One thing that I commonly find is that researchers want to know about the identity and origin of the immigrant but don't care to know about immigration. When I suggest to some researchers that they might want to answer the above questions generally before trying to find their individual immigrant ancestor, they space out and act as though I have asked them to go dig weeds or some other unpleasant task.
Fortunately, in most countries there are an adequate selection of good books on immigration and in most cases, reference works on specific ethnic immigration. As I usually do, I suggest studying the reasons and the background of genealogical problems, not just to solve the "brick walls" but to become aware of the huge number of sources for finding out about the immigrants. You might want to focus a little more on history and then look for your ancestor. If you want a good place to start, try searching for the term "immigration" in the FamilySearch Research Wiki. You will find articles about immigration to and from many countries of the world.