We present a newly developed approach to characterize the sources of fine particulate matter (PM2.5)‐related premature deaths in Europe using the chemical transport model GEOS‐Chem and its adjoint. The contributions of emissions from each individual country, species, and sector are quantified and mapped out at km scale. In 2015, total PM2.5‐related premature death is estimated to be 449,813 (257,846–722,138) in Europe, 59.0% of which were contributed by domestic anthropogenic emissions. The anthropogenic emissions of nitrogen oxides, ammonia, and organic carbon contributed most to the PM2.5‐related health damages, making up 29.6%, 23.2%, and 16.8%, respectively of all domestic anthropogenic contributions. Residential, agricultural, and ground transport emissions are calculated to be the largest three sectoral sources of PM2.5‐related health risks, accounting for 23.5%, 23.0%, and 19.4%, respectively, of total anthropogenic contributions within Europe. After excluding the influence of extra‐regional sources, we find eastern European countries suffered from more premature deaths than their emissions caused; in contrast, the emissions from some central and western European regions contributed premature deaths exceeding three times the number of deaths that occurred locally. During 2005–2015, the first decade of PM2.5 regulation in Europe, emission controls reduced PM2.5‐related health damages in nearly all European countries, resulting in 63,538 (46,092–91,082) fewer PM2.5‐related premature deaths. However, our calculation suggests that efforts to reduce air pollution from key sectors in some countries can be offset by the lag in control of emissions in others. International cooperation is therefore vitally important for tackling air pollution and reducing corresponding detrimental effects on public health. Plain Language Summary: We characterize detailed sources of fine particulate matter (PM2.5)‐attributable health burden in Europe using a newly developed modeling approach. Our calculations show PM2.5 pollution led to 449,813 (257,846–722,138) premature deaths in Europe in 2015, 59.0% of which were related to human activities within Europe. Emissions related to household heating and cooking, farming, and automobiles caused the most premature deaths related to air pollution. People living in eastern European countries experienced even greater harmful air pollution effects than their own emissions caused; they are net importers of the health burden. In contrast, emissions from some central and western European regions caused more premature deaths throughout Europe than were experienced locally. Over the course of a decade of policies regulating PM2.5, pollution‐related health impacts declined in nearly all European countries, although the efforts to reduce air pollution from key sources in some countries was partially offset by a lack of effective emission controls in others. The results not only show where air pollution related health risks came from, they also help us to learn about the limitations of local policies at reducing the pollution health risks, as air pollution is often a regional phenomenon crossing the borders within Europe. Key Points: Residential, agricultural, and ground transport emissions were the largest sources of the PM2.5‐related health burden in EuropeEastern Europe experienced more premature deaths than their own emissions caused, making them net importers of the pollution health burdenEmission reductions, most from transport, energy, and industrial sources, reduced pollution health damages in Europe during 2005–2015 [ABSTRACT FROM AUTHOR]