The majority of studies on identity in the discipline of International Relations have analysed identities from an analytical perspective of distance; they elide the fact that identities are situated productions which unfold in specific contexts and through different forms of signification. In this article, I seek to work towards greater attentiveness to the situatedness of identities. I propose a reconsideration of the concept of discourse for situating identities and argue that ethnography can be a useful methodology for analysing the discursive construction of identities in micro-settings. This conceptual argument is illustrated by drawing on data from ethnographic research within Moscow State Institute of International Relations (MGIMO), a Russian elite university. I analyse how identification with Europe shifts across multiple contexts as it is enacted in everyday life and represented in the multiple processes of studying international relations at this educational institution. Foregrounding the situatedness of identities in this way brings their ambiguities and instabilities into view, while cautioning against an all-too-easy universalization in identity research.