We study how individuals form preferences for further European integration, focusing on the interaction between perceived economic benefits from the European Union and identity-based costs. First, we develop a simple micro-founded model in which individuals choose their preferred level of additional European integration. Utility depends on: a benefit term that combines an intrinsic valuation of integration with perceived economic gains from EU-funded programmes, and a convex cost term that captures political and adjustment frictions. A key feature of the model is that these costs are moderated by identity: individuals who feel more national than European face steeper marginal costs of further integration, while those who feel at least as European as national do not incur additional identity-related costs. Second, we take the model to the data using individual-level survey information from EU member states. We estimate the relationship between support for further integration and perceived exposure to EU-funded benefits, economic circumstances, and identity, controlling for standard sociodemographic characteristics. This empirical strategy allows us to assess to what extent the theoretical mechanisms are reflected in observed attitudes. Our results highlight the central importance of identity in structuring preferences for European integration. While perceived economic gains from the EU can increase support for integration, these effects are mediated by how individuals see themselves in national versus European terms. The findings suggest that purely material explanations are insufficient: understanding political support for European integration requires accounting for the identity-based costs that individuals associate with deeper integration.