One of the main aims of the Erasmus programme is to promote a sense of European identity. Whereas several empirical studies have already investigated this relationship, few studies investigate what students actually mean when they refer to ‘Europe’. Therefore, in this paper I investigate the different latent dimensions of the concept Europe, as well as which of these dimensions are particularly associated with an exchange period abroad. The analyses are based on an online survey conducted with higher education students in Austria, Belgium, Italy, Poland and Sweden in 2011 (n = 4278). The presented models reveal four latent dimensions, namely a ‘cultural’, ‘political’, ‘rights’ and ‘experiential’ dimension. Furthermore, the analyses suggest that exchange students are largely a self-selected group, being a priori more likely to identify with Europe and score higher on the four dimensions.