We consider the Lévy flow of diffeomorphisms of a manifold obtained by solving a stochastic differential equation driven by an n-dimensional Lévy process and n complete smooth vector fields (which generate a finite-dimensional Lie algebra L) and show that a necessary and sufficient condition for a large class of such flows to have an invariant measure is that each of the vector fields is divergence-free. We investigate the existence and uniqueness of such measures and examine their invariance with respect to the action of the associated Markov semigroup. In particular, we prove that there is an invariant probability measure on M if and only if the transformation Lie group G whose Lie algebra is L is compact. In the unbounded case we show that if there is a unique G-invariant measure, then it is also the unique invariant measure for the Markov semigroup provided the flow is recurrent.