The Erasmus programme for university student exchange was developed, in part, to foster European identity among its participants, who complete a short‐term sojourn studying in another European country. However, two previous panel studies of the impact of Erasmus participation on European identity find no significant ‘Erasmus effect’. This article analyzes new survey data – a novel panel study of 1,729 students from 28 universities in six countries – and finds the opposite: participation in an Erasmus exchange is significantly and positively related to changes in both identification as European and identification with Europe. Furthermore, the data underscore the significance of cross‐border interaction and cognitive mobilization for explaining identity change: transnational contact during the exchange is positively related to change in both dimensions of European identity, and increased knowledge of Europe and attention to European news over the course of the exchange is associated with enhanced identification with Europe.