Since 2008 a profound crisis, not only economic but also political, has been affecting the EU. The Eurobarometers carried out by the European Commision show an increased percentage of people who see their country as not having benefitted from being an EU member. In addition, the presence of extreme‐right parties has grown recently in several democracies. These parties adopt not only an anti‐European but also an anti‐immigrant stance. It is precisely the growing strength and visibility of this link between anti‐Europeanism and anti‐immigration in ideological positions that has prompted our research. Using data from the Eurobarometer 71.3 (2009) for eleven countries, we confirm a correlation between intercultural dialogue – measured using a proxy variable: European identification – and tolerance. Results also corroborate group threat theory. However, the best model takes into account national contexts. These findings show the relevance of studying national historical and cultural traditions to understand how prejudices develop.