Pan-Africanism and references to a shared African cultural identity have an important function in the way the African Union (AU) seeks to mobilize a sense of belonging among African citizens. However, we know very little about how African citizens, in turn, relate to and identify with the AU and what shapes their sense of belonging as political subjects of the AU. In addressing this lacuna, this article takes a bottom-up perspective on the formation of an AU identity among African citizens, placing citizens’ own sense-making practices about the relevance and value of the AU in their everyday lives center stage. Drawing on focus group discussions among citizens in Burkina Faso and The Gambia, I show that the way research participants relate to the AU is based on and mediated through experiences. Rather than a vague Pan-African identity, what shapes the way citizens relate to the AU are concrete experiences with the organization’s norms and policies and their tangible effects on everyday life, which are conditioned by people’s (different) exposure to AU policies and their positioning within existing social, political, and economic structures. The importance of experience in forging a sense of belonging among African citizens does not preclude the existence of a shared Pan-African identity, but it offers important cues for both how to study the formation of an AU identity and how it can be shaped in the future.