The correct answer is - it depends. It depends on where you study, what you study and where you are from.
We know the first part already - where you study matters. This is both in terms of the country where you went to school, and the school you went to. The school matters more than the country, but if the school is obscure, the country counts.
The effects of other two parameters - what you study and where you come from - are seldom talked about.
The discipline matters a lot. Parthenon, a consultancy (now part of EY), studied the effect of foreign qualification on job prospects of a candidate and pay. They concluded that while employers prefer a candidate with foreign qualification over others, it has no discernible impact on pay, except in some disciplines. They pointed out Hospitality and Digital Media as two of the areas where foreign education impacts pay, and perhaps it is easy to guess why that would be so. In other areas, such as Business, the candidate with a foreign qualification may have a preference over those who did not have one, but have to live with the same salary levels.
Studies such as these, which deal with an aggregate picture (which is useful in itself), miss some details that are needed to answer a specific question. One has to remember that more often than not, the Foreign Degree holding candidate is more educated (often having additional qualification) and has more social capital, so the preference can not really be understood without controlling for all these other factors. The question to ask is whether the employers would prefer those with a foreign undergraduate degree, which, in most cases, would not be recognised in the country, over those who have a local degree? Would it happen if one has got the foreign degree from a relatively less known university? What if they have got it from a country other than the metropolitan centres of Higher Education (like US, UK, Australia and lately, Canada)? How much does the degree itself matter, and how valuable is the experience of being abroad?
The pay question also has some implication, in fact, a big one now that the practice of allowing students to stay on after their degree studies have become rarer in major countries. This means that the students often have no international degree-level work experience when they would be applying for a home country job, and they have no other mechanism of recuperating the premium they have paid for a foreign qualification. This makes most foreign degrees poor value, though this factor is often overlooked while pricing courses and recruiting students.
Finally, as I have learnt by making my share of mistakes, the value of a foreign qualification depends on where the student is from. As an example, it may make more sense for a Chinese student to study for a global qualification than an Indian student. This may be a broad generalisation, but one must note that the Chinese economy is built around creating cost-effective production capability to service the needs of the world. The Indian prosperity, however, is based on stimulating demand from its millions of citizens living in small towns and villages, and satisfying them. In an economic sense, China is looking outward whereas India is looking inward. The most important thing for an Indian graduate is not a fancy foreign degree, but mastery of the landscape of her own country.
International Higher Education is seen as an industry now, with the talk of export earning, venture investments and technical innovation. But the conversations within it are still fairly immature, and have hardly moved forward from those days of Western economic dominance and relatively free student movements. The international student, in the mental models one uses, still goes to an English speaking country for a study and perhaps continues all the way to a Research degree, and thereafter, lives and works there. This has no connection with reality, as many students now study off-campus, for a variety of qualifications, and not all students of this vastly expanded numbers are keen on research. The labour market factors as those mentioned above remain on the margins. But its significance can not be overstated - an understanding of various labour markets is the key to building successful propositions in International Higher Education - and this, and only this, can help an institution construct a meaningful strategy.