The purpose of this study is to investigate socioeconomic segregation patterns and levels in Brussels, Copenhagen, Amsterdam, Oslo and Stockholm. Previous studies have shown that socioeconomic segregation is a persistent reality in European cities and that it can have negative effects on social cohesion and individuals’ outcomes. Few studies so far, however, have investigated socioeconomic segregation from an international comparative perspective, mainly due to the lack of appropriate and comparable measures across countries. Yet, comparative studies of cities under different housing policies and economic contexts can help elucidate the underlying processes that produce and sustain segregation. In our study we benefit from innovative geocoded data from Belgium, Denmark, the Netherlands, Norway and Sweden, which allow us to compute comparable measures of socioeconomic segregation in 2011 for the five capitals. First we delimit the five metropolitan areas within 25km-radius circles and divide these areas into small-scale grids. We then expand geographic buffers around each grid using the EquiPop software until we obtain samples of the 200, 1600, 12800 and 51200 nearest neighbours. For each sample of nearest neighbours, we then calculate two indicators of socioeconomic composition: (i) at risk of poverty: the share of people aged 25 and above with disposable income below 60% of the national median; and (ii) high income: share of people aged 25—64 with net earned income in the highest decile. In this way, we obtain comparable measures of the distribution of poverty and affluence in the five cities at different scales—from individuals’ immediate surroundings until urban areas—with a high level of geographic detail and independently of administrative borders. We analyse these measures using maps, segregation indices and percentile plots. The differences in levels and patterns across cities are interpreted in the light of their particular housing systems and territorial processes.