Were there any westerners who entered the soviet bloc to escape capitalism?

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There was direct migration from Finland to the USSR during the depression era. Presumably similar proportions of the Polish, Romanian and Baltic state populations did likewise.

Similarly, several thousands of Finnish-Americans went to the USSR in the 1920s... but more generally countries that didn't border the USSR saw uprisings (and successful revolutions in places like China, Vietnam, Cuba and Nicaragua) rather than mass flight. Presumably this is because those that are the most disadvantaged in a capitalist society are those that are least likely to have the means to flee.

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Not sure if this counts. Stalin's daughter, Svetlana Alliluyeva, defected to the United States in 1967, and later returned to the USSR with full citizenship in 1984. She didn't last very long, leaving the USSR again for good in 1986.

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Yes, there were many examples like this. First period was in 1920-s when some people really moved to build socialism. Including some from the USA. Then there was a period in 1930-s when many people moved from Europe, to escape Nazi and other persecution (left-wing people and communists were persecuted not only in Germany). I am not mentioning many emigrants who returned in 1930-s. There were also such people after WWII. Some examples like Oswald are mentioned in other answers. The famous mathematician John Nash (winner of a Nobel prize in economics) once made an attempt to move to GDR, and there were few others. I personally knew a mathematician who moved from France in 1960-s. He was from a second generation in an emigrant family (born in France). These cases were of course rare statistically, but in the absolute numbers they were not so small.

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This wasnt to the Soviet Union, rather to China, but during the cold war at the end of the Korean Conflict 21 Americans chose to defect to China rather than return to the USA. I work with the daughter of Mr. Adams and he was a remarkable person from what I have heard.

https://en.wikipedia.org/wiki/List_of_American_and_British_defectors_in_the_Korean_War

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John Nash tried to defect to East Germany multiple times. He was forcibly returned.

There were several Americans who defected to North Korea and some still live there.

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Lee Harvey Oswald moved to the USSR for political reasons. However, he found the USSR no more to his liking, because he was mental and was not going to be satisfied by anything. He soon moved back.

There was a book about American victims of Stalin who moved to the USSR for ideological reasons before WW2. Predictably they found it uncongenial, but the American Embassy refused to help them emigrate back home... :/

There is a review of the book here (paywall).

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Some people did move there in the 1930s. There were two main types: engineers whom the USSR attracted by offering to pay them and communists who were dismayed with the fascist takeovers in Germany and Italy.

A typical example of the former type was Zara Witkin, a Jew of Russian origin who was an American citizen. Witkin was trained as a civil engineer. He left for the Soviet Union in 1932 partially to make a living and partially out of a desire to support communism. He left in 1934. A more intense case is that of John Scott, an engineer who was there in 1932-1938 and wrote "Behind the Urals: An American Worker in Russia's City of Steel" describing his experiences. Scott was lucky not to get arrested. Many Americans and Germans who stayed past 1936 were arrested as spies and imprisoned or executed.

The other class of immigrants were primarily German and Italian intellectuals who did not want to live under fascism in those countries. A typical example of such a person was the brilliant Austrian physicist Fritz Houtermans. He was one of whole community of such physicists in Kharkov. When the political situation deteriorated in 1936 some of Houterman's friends like Weisskopf and Placzek were smart enough to leave, but he stayed. Houtermans was arrested and tortured, having his teeth pulled out among other things. Later the Nazis did a prisoner exchange and rescued him, even though he considered himself Jewish despite having only one Jewish grandparent. Many of Houterman's friends were not so lucky. For example, Heinrich Kurella, a close friend of Houterman's, was arrested and quickly executed like many others.

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