The phase‐space relative Rényi entropy is introduced using the information theoretical and thermodynamic view of density functional theory. In the special case of constant inverse temperature the phase‐space relative Rényi entropy is a sum of the position‐space relative Rényi entropy and a term arising from the momentum space. This quantity can be considered as a measure of similarity. It includes more information than the position‐space measures, since it also incorporates momentum‐space knowledge.