Threat has been proposed as an important cause of prejudice with social identification moderating its effects. In the context of the expansion of the European Union, two studies (N = 216 students and N = 107 non-students) examined how people with different levels of subgroup and superordinate identification respond to threats from an outgroup nested within the same superordinate category as the ingroup. Across experiments, a consistent finding was that participants who strongly identified with the subgroup (Germany) and the superordinate group (Europe) at the same time were most susceptible to a subtle manipulation of threat. Among these participants, threat increased prejudice (Studies 1 and 2) and ingroup projection (Study 2). Findings are discussed with regard to theoretical models of subgroup relations, especially the ingroup projection model, as well as the European integration process.