Abstract Since no ‘responsible’ continental party system has yet emerged to provide stable cues to European Parliament (EP) voters, they are left to choose between their countries’ domestic parties. Though the large majority of participants act just as they did in the previous national election, some switch their votes. This essay investigates the divergence between EP and national election results, finding evidence that voters who change their behavior often act in a rational manner. Two empirical regularities have been reported in the literature on EP electoral outcomes, and two theories posited to explain them. First, parties that hold power in domestic governments tend to do poorly in EP races, with their greatest losses coming when the elections fall midway through their tenures. Previous explanations of this phenomenon focus on a natural ‘cycle of popularity’ that all governments face. I test the competing theory that this cycle is not natural but driven by retrospective judgements of a government’s record. Macroeconomic performance, rather than time itself, is the key explanatory factor. Second, minor parties tend to improve upon their domestic vote totals in EP elections. Is this because voters who have become unhappy with major parties use European races, which usually fall between domestic contests, to cast a protest vote? I consider this theory along with an alternative explanation in which voters move to small parties even though their preferences remain stable. The different electoral rules that govern EP races and the lower stakes involved provide voters with new strategic incentives, which guide their votes. Tests of these four theories using aggregate election returns from every EP contest along with survey data from the 1994 races provide much evidence of retrospective voting and strategic behavior.