Most literature has portrayed urban migrants as passive victims of labour exploitation highlighting mainly migrants’ strategies of coping with labour exploitation and their inability to cope. This paper puts forward an alternative perspective that urban migrants are not the passive victims of urban labour exploitation but they also have various unique capacities of coping with the threat. The paper thus explores labour exploitation threat to specifically determine the migrants’ capacity to cope with the threat and recommend factors for enhancing the migrants’ capacities to cope with the threat. Based on the multi-layered social resilience framework, the paper adopts qualitative approach drawing on 50 migrants, 30 households’ representatives, 20 key informants, and 3 Focus Group Discussion (FGD); supplemented by review of secondary data. Findings revealed that migrants drew mainly on individual and household levels, to develop reactive and proactive capacities of coping with various labour exploitation threats; suggesting that more potential could be tapped from meso, national and international levels to support the migrants to more competently cope with the threats. In this case migrants’ competencies against the threat could be more improved through the amelioration of their, formal skills and rendering the existing meso, national, and international institutions more responsive towards various forms of labour exploitation threats. The findings of this study shed new light on an alternative way of understanding labour exploitation threat in the urban context and ways of building capacities of urban migrants and other vulnerable groups involved in threats to more competently cope with the threats.