Explaining negative attitudes towards immigration in general and threat due to immigration, in particular, has been a major topic of study in recent decades. While intergroup contact has received considerable attention in explaining ethnic threat, group relative deprivation (GRD), that is, feelings that one’s group is unfairly deprived of desirable goods in comparison to relevant out-groups, has been largely ignored in cross-national research. Nevertheless, various smaller-scale studies have demonstrated that GRD can have a decisive impact on prejudice. In the current study, we examine the association between GRD and ethnic threat systematically across 20 European countries, thereby controlling for intergroup contact and value priorities. The 7th round of the European Social Survey (ESS) includes questions assessing respondents’ feelings of group deprivation compared to immigrants and offers for the first time an opportunity to contextualise the threat-inducing effect of GRD across Europe. A multilevel structural equation model (MLSEM) demonstrates a considerable association between GRD and ethnic threat both on the individual and country levels. The results indicate that GRD is not only an important mediating factor between social structural positions and perceived threat, but also fully mediates the relation between contextual economic indicators and ethnic threat.