At the beginning of "Europe," the unnamed narrator speaks, in a roundabout way, of going with his sister-in-law to see her good friends the Rimmles as they prepare to leave for Europe. He paints a picture of the Rimmles as earnest, "cultured," and old. It is clear that the Rimmle daughters have very little going on in their lives beyond taking care of their extremely old mother, Mrs. Rimmle. Mrs. Rimmle talks constantly of a trip she took to Europe long ago, and the family now plans to go to Europe together in the hopes of improving Mrs. Rimmle's health. However, this trip is abandoned when Mrs. Rimmle falls ill at the last minute.

Eventually, Mrs. Rimmle discusses how she's told stories of her trip to Europe so many times and how her daughters simply need to go themselves. Mrs. Rimmle and the narrator both suggest that all of the Rimmle daughters go, but they single out Becky, who has been especially invested in Mrs. Rimmle's tales and mementos, as the one who needs to go.

The conversation eventually turns to the question of how long they would stay in Europe. The narrator says that, once there, they might as well stay and have an extended trip, and the daughters are clearly worried about this. Becky expresses concern about her mother and being out of the country for any extended period of time.

The narrator leaves the Rimmles as they are finalizing their plans for their trip, only to hear later by letter that they canceled the trip, due to some mysterious downturn in Mrs. Rimmle's health.

The narrator then has a conversation with his sister-in-law in which she refuses to specify just how old Mrs. Rimmle is—but she makes clear that her age is almost supernatural and expresses how much she hopes her health will improve. After all, that is the only way the Rimmle daughters could ever take a trip to Europe.

After this scene, the narrator takes two trips to Europe; he says he fell into the habit of seeing the Rimmles whenever he came to see his sister-in-law in America. He thinks they should actually go to Europe, and they grow tired of his pressuring them. The narrator's visits with them grow increasingly boring as their lives devolve into repeating the same stories. The narrator observes that by the time Mrs. Rimmle passes away, her daughters will be too old themselves to travel, and he nearly suggests that it's sad Mrs. Rimmle hasn't already died.

Finally, after much anticipation, the reader learns that Mrs. Rimmle's daughter Jane has left on her own with some friends, the Hathaways, for a tour of Europe. Her mother claims that Jane has already returned to New York, but Jane's sisters inform the narrator that their mother is mistaken and that Jane has extended her tour and is still in Europe. Supposedly, Jane has changed so much that mutual friends claim that her sisters wouldn't recognize her.

Jane has become free, "obstreperous," and flirtatious. Becky, while still at home, has decided to finance her trip. Mrs. Rimmle, on the other hand, speaks of Jane less and less, clearly feeling abandoned.

The story closes with an ominous series of false statements. First, Becky claims to the narrator that her mother is dead; when the narrator goes to see Mrs. Rimmle, he agrees that she certainly looks dead, but she is still able to ask him questions. Then, Mrs. Rimmle claims that Jane is dead, though, as far as everyone else in the story knows, she is still traveling around Europe. Later, when Becky dies of old age (preternaturally old Mrs. Rimmle ends up surviving at least one of her daughters, as the narrator predicted), Mrs. Rimmle tells the narrator that she has gone "to Europe."