Historical sociology can be understood both as a specific sub-field of sociology and as providing general conceptual underpinnings of the discipline, to the extent that it provides an understanding of the specificity of the modern state and the perceived emergence of modernity within Europe. The association of modernity with Europe (and with a European history limited to the self-identified boundaries of the continent) is commonplace and pervasive within the social sciences and humanities. What such an understanding fails to take into consideration, however, are the connections between Europe and the rest of the world that constitute the broader context for the emergence of what is understood to be the modern world and its institutions, such as the state and market. In this article, I suggest that integral to this misunderstanding, and its reproduction over time, is the methodology of comparative historical sociology as represented by ideal types. In contrast, I argue for ‘connected sociologies’ as a more appropriate way to understand our shared past and its continuing impact upon the present. I examine these issues in the context of historical sociological understandings of nation-state formation.