We provide the first individual-level test of whether holding supranational elections in the European Union fosters satisfaction with European Union democracy. First, we examine whether participation at the European Parliament election fosters satisfaction with democracy and whether, among those who participated, a winner–loser gap materializes at the EU level. Second, we examine under which conditions participating and winning in the election affect satisfaction with European Union democracy, focusing on the moderating role of exclusive national identity. Our approach relies on panel data collected during the 2019 European Parliament elections in eight countries. We demonstrate that while participating and winning increase satisfaction, such positive boost does not materialize among those with exclusive national identity. These findings hold an important message: elections are no cure to deep-seated alienation.