This review synthesizes empirical evidence for the associations between alternative protein food (APF) choices and geographical context factors, including differences and similarities between consumers from various European countries, rural versus urban environments, and the “local” attribute of APF. The preregistered systematic review (PROSPERO repository, no. CRD42023388700) was conducted in 13 databases with 25 original studies being included. The risk of bias was evaluated using Joanna Briggs Institute quality evaluation tools. The findings indicate that across consumers from European countries, levels of intention to eat, try, and buy APF are low-to-moderate. Patterns of APF consumers’ choices differed between Northern Europe (Denmark, Finland), Southern Europe (Italy, Spain), and Eastern Europe (Poland, Czech Republic). For example, Danish consumers have positive attitudes but relatively low intention to eat plant-based APF. In turn, Polish consumers have lower levels of knowledge and low readiness to shift dietary patterns toward APF intake compared to Western European consumers (e.g., Germany). Italian consumers have a lower acceptance of insect-based APF than consumers from Western or Northern European countries (e.g., Belgium, Denmark). Our findings do not support rural–urban differences. Finally, perceiving an APF product as local may increase the likelihood of APF choice by European consumers. Our review provides preliminary insights into differences among consumers inhabiting European countries, suggesting the use of different messages to promote APF intake across Europe. Systematic research comparing countries across Europe is needed to verify the consistency of geographical differences.