Up till now, a systematic test of the impact of theoretically relevant locality characteristics on social cohesion has been lacking in Europe. In this paper, we investigated the impact of a wide array of characteristics of Dutch neighbourhoods and municipalities on contact frequency with one’s neighbours, tolerance to neighbours from a different race, generalized social trust and volunteering. Based on the homophily proposition, we expected that ethnic and economic heterogeneity in Dutch localities negatively affect these indicators of social cohesion. We also expected that poor localities, localities with high crime rates and localities that suffer from high residential mobility rates offer their residents less favourable circumstances for social cohesion to arise. For our individual level data, we used the survey ‘Culturele Veranderingen 2004’, which contains 2949 individuals living in 503 neighbourhoods and 245 municipalities. Economic deprivation (at the neighbourhood level) is most consistently negatively related to social cohesion. We did not find a consistent negative impact of ethnic heterogeneity on social cohesion. We conclude that not all aspects of social cohesion are affected in the same way by neighbourhood and municipality characteristics and that the impact of these characteristics on social cohesion depends on residents’ income and educational level.