Drawing on large‐scale comparative surveys across nine sociopolitical contexts, we address the question when and why ethno‐religious and city or national identities of European‐born Muslims are in conflict. We argue that the sociopolitical context makes the difference between identity compatibility or conflict and that conflict arises from perceived discrimination and related negative feelings towards the national majority. Using multigroup structural equation modelling, we examine how Turkish and Moroccan Muslims in five European cities combine their civic membership of the city and country of residence—as common identities shared with the national majority—with distinct ethnic and religious identities. In all sociopolitical contexts, participants combined significant city and national identities with strong ethnic and religious identifications. Yet, identification patterns varied between contexts from conflict (negatively correlated minority and civic identities) over compartmentalization (zero correlations) to compatibility (positive correlations). Muslims who perceived more personal discrimination were more committed to their ethnic and religious identities while simultaneously dis‐identifying from their country and city. Across cities, discrimination experiences and negative majority‐group evaluations explained away identity conflict.