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Though people will probably feel more connected to other European countries than to countries elsewhere, a real "us" feeling doesn't really, mildly at best, exists continent-wide. There are pockets of countries that feel more connected.

Speaking from a Dutch perspective there's obviously the BeNeLux, for me being in either Belgium or Luxembourg is almost like being in my own country (well, they do have prettier nature). In a broader sense you could say we stick mostly to the other North-Western European countries because our cultures and values are mostly the same. Countries do usually cling the most to their direct neighbours though and the longer the distance, the smaller the connection. On a deeper level it's probably because we all share thousands of years of history and mostly common origins. Countries (Kingdoms, Empires, revolutions) rose and fell, we owned each others lands, everyone's royalty is basically one big family and at one time two countries would depend on each other while at another they were at odds. All our histories are intertwined.

Still, like I said, we are all Dutch, Belgian, English, German, Swedish, Polish, Russian, French, Spanish, Italian, Greek and all the others first and foremost, and European second. Differences between countries are big, even neighbouring ones. I could probably show you any stereotypical photo of any random country and you'd know which one it is.