Identification with Europe can constitute an important part of psychological citizenship for European citizens. From a self-categorization perspective, higher-order (e.g. with Europe) and lower order subgroup identities (e.g. with the nation) may interfere with each other if they are seen as incompatible. We were interested in contextual moderators at school and country level of youth’ national identity on identification with Europe. We used multi-level regression analyses based on data from the International Civic and Citizenship Education Study, collected from 14-year old students (n = 71,282) from 22 European countries. Results showed strong positive effects of national identity at the individual, and classroom-level on European identity. However, main effects of national identity at the individual level were qualified by a number of interactions with contextual-level moderators. The relationship between national and European identity was weaker for adolescents attending classrooms or living in countries with lower average levels of trust in EU institutions. Living in countries with higher gender and income inequalities, less friendly immigration policies, and a communist past lessened the association between national and European identity. Results point to the powerful effects of context in shaping the relationship between national and European identity.