The EU‐wide survey “Statistics on Income and Living Conditions” (EU‐SILC) is extremely important for international social science research and policy advice. It is therefore crucial to ensure that the data are of the highest quality and international comparability. This paper is aimed at identifying unexpected developments in income levels, income mobility, and inequality in the EU‐SILC data between 2005 and 2009. We examine the consistency of EU‐SILC by comparing cross‐sectional results with findings based on two‐year longitudinal samples. Although the data represent similar populations, for several countries the results of this comparison differ widely. One important outcome is the high degree of variability over time in countries that obtain their income information from register data. This suggests methodological challenges in the clear designation of new subsample members, in the reweighting of the data, in imputation of missing values, and in other areas.