Both the ideals of the European Union (EU) and the EU’s recent political difficulties have attracted comparison with the Habsburg empire. In recent years some of those making comparison have turned to the Austrian Jewish novelists, Stefan Zweig and Joseph Roth, who were crucial to the imaginative emergence of the Habsburg Myth. This paper analyses their writings and those of Robert Musil and Gregor von Rezzori in relation the Habsburg Myth as a story about European unity, about Austria-Hungary as a supra-national polity, and about Austria-Hungary’s self-proclaimed providential purpose in European affairs. It explores the dissonance between the Habsburg Myth and the EU’s territorial composition and argues that the Habsburg Myth is, nonetheless, revealing about the EU’s internal hierarchies and its geopolitical difficulties in relation to Russia.