This study presents a comprehensive analysis of processes determining heat waves across different climates in Europe for the period 1979–2016. Heat waves are defined using a percentile‐based index and the main processes quantified along trajectories are adiabatic compression by subsidence and local and remote diabatic processes in the upper and lower troposphere. This Lagrangian analysis is complemented by an Eulerian calculation of horizontal temperature advection. During typical summers in Europe, one or two heat waves occur, with an average duration of five days. Whereas high near‐surface temperatures over Scandinavia are accompanied by omega‐like blocking structures at 500 hPa, heat waves over the Mediterranean are connected to comparably flat ridges. Tracing air masses backwards from the heat waves, we identify three trajectory clusters with coherent thermodynamic characteristics, vertical motions, and geographic origins. In all regions, horizontal temperature advection is almost negligible. In two of the three clusters, subsidence in the free atmosphere is very important in establishing high temperatures near the surface, while the air masses in the third cluster are warmed primarily due to diabatic heating near the surface. Large interregional differences occur between the British Isles and western Russia. Over the latter region, near‐surface transport and diabatic heating appear to be very important in determining the intensity of the heat waves, whereas subsidence and adiabatic warming are of first‐order importance for the British Isles. Although the large‐scale pattern is quasistationary during heat wave days, new air masses are entrained steadily into the lower troposphere during the life cycle of a heat wave. Overall, the results of the present study provide a guideline as to which processes and diagnostics weather and climate studies should focus on to understand the severity of heat waves