Although an increasing influx of migrants from other countries has been changing the European societies for several decades now, we still know little about the migrants' political attitudes – in particular with regard to the process of European integration. In this paper, I aim to narrow this research gap concerning migrants' European identity, that is, their feeling of belonging to Europe and their conceptions of it. Based on representative surveys from Eurobarometer and the European Values Study, I can show that migrants identify to a surprisingly high level with "Europe", although this identification is still lower than the one of native EU citizens. At the same time, the perceptions of "Europe" and what it means to be "European" partly vary between natives and migrants, with important consequences for citizens' cultural and political European identity.