Despite European Union efforts to fight discrimination as part of its Union of Equality strategies, it is difficult to analyse discrimination in EU Member States given the scarcity of official data sources. This paper uses new survey data to examine discrimination against people from racialised communities, LGBTIQ+ people, persons with disability and religious minorities. It explores the role discrimination plays in driving well-being gaps between at-risk groups and the majority of the population. Discrimination, particularly when it occurs frequently, is associated with severe effects across many aspects of people’s lives – constraining income-earning opportunities, exacerbating housing and financial stress, subjecting people to violence, fear and low self-esteem, and contributing to mental ill health. These consequences come at a huge personal cost to the individuals directly affected and to society as a whole.