In this study, we explored the identity strategies of Hungarian Gypsies with different socialization backgrounds, including the degree of majority and minority identifications, the contents of Gypsy identity as well as coping with threatening social situations. Sampling was based on external social categorization: majority members were asked for contacts to Gypsy acquaintances. Questionnaire data were used to assess socialization background, group identification and preferred coping strategies at different levels, while contents of Gypsy identity were explored in an associative network. Results suggest that subjects make an exclusive choice between national and ethnic identities. While all subjects prefer ethnic identity, subjects with different socialization backgrounds follow different identity strategies. In sum, large‐family subjects are emotionally attached to their ethnic group, avoid interaction with the majority and prefer the idea of a multicultural society. Small‐family subjects are emotionally detached from their ethnic group and vote for a homogeneous society. Results are interpreted in terms of integration‐related social policies. While these are aimed at the foundation of a recognized active minority, members of these new generations find the way of recognition in individual assimilation due to the threat of prejudice. Copyright © 2015 John Wiley & Sons, Ltd.