Research from the United States suggests that the 9/11 terrorist attack increased trust in political institutions by creating a “rally effect.” In this research note we analyze Eurobarometer data collected immediately before and after the March 11, 2004 terrorist attack in Madrid to replicate and extend previous findings from the United States. We report that, first, trust in different types of institutions (political, media, justice) increased significantly immediately after the Madrid terrorist attack; second, the effect of the attack varied systematically across different types of institutions; and, third, the effect was generally short‐lived. Our results suggest that the rally effect of terror on trust in institutions generalizes across national contexts but also that the effect differs across types of institutions.