In this paper, we provide evidence for higher returns to experience in big cities. We exploit a government policy of quasi-random settlement of political refugees in Denmark between 1986 and 1998, which generated plausibly exogenous variation in workers' initial local labor market. Detailed matched employer-employee datasets allow us to track workers' location and labor market experience, including their employers. We show that the slope of a refugee's lifetime wage path depends strongly and positively on initial placement in the country's capital, Copenhagen. Conditional on observables, settled refugees initially earn similar hourly wages across regions, but those placed in Copenhagen see their wages grow 0.81% faster than others with each year of experience they accumulate. We further show that this premium is driven by the greater acquisition of experience at high-wage establishments and by differential sorting across occupations. Estimating a statistical spatial model of earnings dynamics reveals that sorting on unobserved ability within cities plays an important role in explaining observed patterns.