The purpose of this study is to compare socioeconomic segregation patterns and levels in Brussels, Copenhagen, Amsterdam, Oslo, and Stockholm with uniform measurements. Socioeconomic segregation is a persistent reality in European cities that may have negative effects on social cohesion and individual outcomes. Previous research has been hampered by conceptual and methodological shortcomings, preventing comparable studies of segregation. We use harmonized datasets from 2011 containing geocoded indicators based on a nearest-neighbors approach, allowing for comparable measures of socio-economic segregation at multiple scales. Our analyses offer an unprecedented comparison of patterns and levels of socio-spatial inequalities in European capitals. Using maps, segregation indices and percentile plots, we find that for all cities, the level of segregation by affluence is much larger than that of poverty. Macro-scale poverty segregation is most prominent in Stockholm and Brussels, and quite low in Amsterdam. At microscales, Brussels and Stockholm stand out with very high concentrations of poverty at the local level. In such poor neighborhoods, there are hardly any non-poor, indicating high levels of polarization. Macro-scale segregation by affluence is most pronounced in Oslo. Differences in levels and patterns are interpreted in the light of their particular welfare regimes, housing systems, area-based policies and migration dynamics.