This article explores energy security and integration within the European Union (EU) in the case of natural gas. It theorizes the underlying institutional dynamics of integration by drawing upon the English School as to how more deep‐seated informal institutions condition policy‐making by EU institutions and Member States as well as the operations of transnational actors such as energy companies. The informal institution of sovereignty constrains the push of the market institution towards a convergent type of integration. Together with the bilateral energy diplomacy and great power management institutions, sovereignty also limits integration in the external gas trade. Internal integration overall remains dependent on the wider European context as is also seen in the functioning of the environmental stewardship institution. The ambiguities among actors occasioned by the implementation of the Third Energy Package suggest a further integration need, but that is constrained by several further driving forces.