For many centuries, Europe had been a battleground. Finally, after World War II, a number of European leaders came to the conclusion that closer economic and political cooperation of their countries could secure peace in the region. This consensus led to the formation of the European Coal and Steel Community (ECSC) in 1951 with six members, Belgium, West Germany, Luxembourg, France, Italy, and the Netherlands. Since then the integration of European countries has progressed exponentially, engendering formal institutions such as the Council of the European Union, the European Commission, and the European Parliament. Currently, the European Union (EU) comprises already 27 member states. Yet, Europe is a patchwork of many nations with strong national, regional, ethnical, and even religious identities. Thus, in spite of the institutional proliferation of symbols of a united Europe, the strength of a European identity at the individual level and its relations to other identities have been a matter of debate. Especially, since the formation of the EU, coupled with growing immigration to and within Europe (Quillian, 1995; McLaren, 2003) gave also rise to a resurgence of nativist political movements in spite of the efforts to promote a European identity. Identities, their development, and their relation to each other are discussed within different disciplines. Their common denominator is that identities are seen as fluid, influenced by the context and dependent on the previous and expected identities. In this paper we are, thus, focusing on the effect of contextual variables at the country level on the individual affiliation to Europe and the nation and the changes between 1995 and 2003. In a twin paper, we are focusing on the processes at the individual level and the relationship between different layers of identities.