For a long time the question of to what extent party choice in the European Parliament (EP) elections is primarily dependent on voters’ orientations towards the European Union (EU) or just a mere reflection of orientations towards issues and actors in national politics has been debated. By combining insights from individual‐level models of party choice in second‐order elections with theories of sequential decision making this article investigates if, how and at what stages in the decision process attitudes to European integration matters for party choice. In line with previous work on first and second decision rule criteria in EP elections, this article develops and tests hypotheses about how voters’ orientations work at different stages of the voter decision process. The findings, based on Swedish data from a probability‐based three‐wave Internet campaign panel, indicate that many voters are in fact considering more than one party to vote for in the beginning of the election campaign. As expected, left‐right orientations function as a main decision rule with respect to which parties voters even consider voting for, while proximity on the European integration dimension mainly matters as a second decision rule in the final stage of the decision process. Using a sequential model with consideration and choice stages, the article reveals a much larger complimentary effect of EU proximity on party choice than has generally been found in previous research. This serves as a distinct contribution to the emerging research field of individual party choice in second‐order elections.