This article analyses how, within the European Union foreign policy system, information is gathered and knowledge is constructed. The analysis is based on the evidence provided by a unique dataset, comprising the Heads of Mission reports between 1998 and 2010 and the EU member states’ diplomatic networks. After distinguishing between information and knowledge, the article tackles three related aspects. First, it shows that the EU is able not only to favour information exchanges, but also to gather information and construct knowledge. Second, it argues that, while member states have an interest in contributing their own information and knowledge, European knowledge is also possible. This is demonstrated by means of an in-depth analysis of the preparation of the Heads of Mission report on East Jerusalem. Third, the article suggests that, depending on the reach of their diplomatic network, some member states are interested more than others in European information, but all member states are interested in European knowledge and in each other’s interpretation of current affairs.