The fast-growing expansion of urban areas pose severe pressures on wildlife. However, some generalist native mammals thrive in urbanized landscapes, while invasive alien species (IAS) are often more abundant in cities than in rural habitats. Variation in phenotypes—such as differences in personality traits—can influence the probability to colonize anthropized areas, especially in the case of IAS where certain traits are related to invasion success. Here, we investigated the expression of activity, exploration, and social tendency in the invasive alien Eastern Gray Squirrel (Sciurus carolinensis) in replicated study sites along a rural–urban gradient in Northern Italy. Personality traits expression was estimated using an open field test (OFT) followed by a mirror image stimulation (MIS) test. We found that squirrels were more active in urban than in suburban and rural sites, and behaved more sociable in urban than in suburban sites. Conversely, exploration did not differ along the gradient. Results also reveal the presence of a behavioral syndrome: activity (OFT), social tendency, and activity–exploration (MIS). We suggest that variation in activity level and social behavior in urban habitats could favor some species to respond positively to urbanization. This study sheds light on the underexplored personality–urbanization relationship in IAS, helping to understand the complex process of invasion.