How is sovereignty managed in the EU? This paper investigates the relationship between sovereignty and European integration through the prism of national opt-outs from EU treaties, addressing an apparent contradiction in contemporary European governance: the contrasting processes of integration and differentiation. On the one hand, European integration is increasing as states transfer sovereign competencies to the EU. On the other hand, we see a multitude of differentiation processes through which member states choose to disengage from the EU polity by negotiating exemptions or derogations. Drawing on Pierre Bourdieu’s political sociology, the paper argues that to understand how sovereignty is exercised and interpreted in the EU, it is necessary to focus not only on the constitutive and regulative dimensions of sovereignty, but equally on the practice dimension. This entails an exploration of how sovereignty claims are managed in a particular social setting. Rather than seeing opt-outs as classic instruments of international law, accentuating the member states’ unchanged sovereignty, the paper argues that the management of the British and Danish opt-outs quite paradoxically expresses the strength of the doxa of European integration, i.e. the notion of ‘an ever closer union’.