Europe as a supranational entity is frequently associated to inclusive and cosmopolitan values, which explains why identification with Europe generally relates to tolerant attitudes toward immigrants. However, because of major immigration movements, Europe has recently gone through demographic and social changes that have challenged its values and identity. In this context, we argue that, because national immigrant integration policies convey social norms about how citizens should deal with issues related to immigration, policies should also shape the association between identification with Europe and attitudes toward immigrants. Indeed, tolerant, more so than intolerant, policies in a country lay the foundations for interpreting identification with Europe as an inclusive stance, and consequently should enhance the association between identification with Europe and reduced anti-immigrant attitudes. To investigate these associations, we conducted a cross-country multilevel analysis including 22 European countries from the 2013 International Social Survey Programme. As predicted, identification with Europe was associated to reduced anti-immigrant prejudice. Furthermore, this negative association was stronger in countries with more tolerant, inclusive policies (assessed by the MIPEX) compared to countries with more intolerant, exclusive policies. Results are discussed in light of the content of European identity and of different embodiments of social norms.