Britain’s withdrawal of its EU membership has a number of political and economic implications for UK–EU relations. In seeking to understand the 2016 EU referendum outcome, it is insightful to study the historical development of discourses representing the UK–EU relationship. Doing so reveals the trends of British exceptionalism and British Euroscepticism as integral to these discourses. Applying a diachronic approach, this paper examines ten speeches by nine Conservative Prime Ministers (PMs) held at the annual Conservative Party Conferences from 1945 to 2020. The speeches include, among others, those by Winston Churchill, Margaret Thatcher, David Cameron and Boris Johnson. The qualitative analysis traces the discursive strategies employed by PMs in their construction of the Conservative narrative of national myth, focusing especially on the issues of British national identity in relation to Europe. Methods of Discourse Historical Analysis (DHA) and Critical Metaphor Analysis (CMA) are applied in order to identify strategies employed by PMs as tools of persuasion for the purpose of consolidating political power and promoting their policies. This study has identified three major interrelated strategies—myth, ally and enemy creation—which are used to narrate the story of Britain’s relationship with Europe as a potential member of the Union, as a member, and up to its efforts to leave the EU.