This article analyses whether and how fairness considerations affect citizens’ support of European Union (EU) policies and integration. While past literature has revealed that perceptions of procedural and substantive fairness impact on public opinion at the level of the nation state, we know less about the fairness‐support nexus when it comes to international cooperation. We here make use of the case of differentiated integration (DI) to experimentally dissect normative and utility‐oriented considerations in the evaluation of EU policies. DI as an instrument to overcome heterogeneity‐induced gridlock has been linked to both autonomy and dominance, and it can generate winners and losers in the EU. Our experiments reveal that citizens largely support DI. However, they are opposed to forms of DI which impose negative externalities on a subgroup of EU member states. This holds irrespective of the affectedness of citizens’ own member states. We take these findings as a first experimental confirmation that citizens, indeed, care about the fairness of the EU and its policies.