Strengthening European citizenship is often considered as a ‘cure’ for the democratic deficit and the lack of legitimacy of the European Union. The present article focuses on the identity component of European citizenship, which is a core component of European citizenship. We distinguish two possible ways to strengthen European identity: a cognitive one (more knowledge about the EU leads to a stronger identity) and a utilitarian one (living in a member state that benefits more from its EU-membership leads to a stronger European identity). We test both explanatory models using a multilevel analysis on the data of the International Civic and Citizenship Education Study. 70,502 adolescents from 21 European member states were questioned in this study. Results indicate that knowledge about the EU only has a limited effect on European identity. The degree in which a member state contributes to the European budget does not seem to have an effect on the strength of European identity at all.