The EU and its member states have invested substantial amounts of resources in programmes like the Youth Guarantee to combat high levels of youth unemployment. We analyse how these policy and programme initiatives are perceived and experienced by the main target group – young European citizens. To what extent do young people across Europe believe that the EU can actually do something about youth unemployment? Do young unemployed European citizens perceive the EU to be effective in resolving their situation? We address these questions by drawing on the unique CUPESSE data that covers 11 European countries. In the first instance we compare the levels of perceived institutional efficacy in reducing youth unemployment. Second, we explore the extent to which institutional efficacy can be attributed to different levels of social capital and different forms of economic and social marginalisation of young people across the EU (e.g., employment status, unemployment experience, socio-economic background, educational level, migration status and history). Thirdly, to what extent is social capital crucial for young citizens’ employment, social integration and economic self-sufficiency?