Roma are Europe's largest, most marginalised minority, with a long history of racism and exclusion informing complex inequalities. Roma higher education participation remains under addressed, and paucity of research hinders understanding. While there is variation between countries, the proportion of Roma accessing higher education compared to the general population is extremely small in all countries. Spain has the largest Roma population outside Central and Eastern Europe, and relatively high levels of Roma participation in higher education. As part of an international project on Internalisation and Mobility, here we discuss insights from eleven qualitative interviews carried out with Roma students and recent graduates in Central and Eastern Europe and Spain. Findings from a thematic analysis of interviews highlight identity and inclusion and how experience intersects with distinct national approaches. We focus in particular on competing pulls of "ethnic invisibility" versus "coming out," and related onus on a responsibility to "give back." The participation of Roma in higher education remains an important social justice issue in Europe. Our research shows that proactive efforts by higher education institutions in Europe are needed to challenge persistent assumptions that fail to value the contribution and potential of Roma students within higher education.