Abstract Strengthening positive human–nature relationships is seen as a way to more pro‐environmental behaviour and leads to a greater environmental sustainability. Therefore, understanding human–nature relationships has attracted increasing attention among researchers. Nature connectedness is a concept developed to measure such relationships. Since nature connectedness is complex and context dependent phenomenon, more research comparing sociocultural and environmental factors within societies in different countries is needed to understand its determinants. In this study, we explored how sociodemographic and socioeconomic characteristics and value orientation of respondents and environmental variables affected nature connectedness across different contexts in the European Union. We used 11 sociodemographic, socioeconomic and personal value factors from the computer‐assisted web interview (CAWI) and six environmental variables characterizing the local environments of 1054 respondents as independent variables to explain the nature connectedness of the respondents in Greece, Poland and Sweden. The individual level of nature connectedness (response variable) was expressed by an additive index (NC‐index) based on a 5‐item scale originating from CAWI. The general additive model was applied to link NC‐index to sociodemographic, value orientation and selected environmental variables. We found that the sociodemographic characteristics of the respondents and their value orientation were substantially more important in explaining the individual level of nature connectedness than environmental variables. The NC‐index was positively correlated with the frequency of visits to the natural environment and biospheric values of the respondents, and was higher for women and the most prosperous respondents. Moreover, we observed several country‐wise differences in associations between explanatory variables and NC‐index. For example, altruistic orientation was positively related to the level of nature connectedness only in Greece, but not in two other countries, and residence during childhood was important to nature connectedness only in Sweden. Our findings that some sociodemographic, socioeconomic and value orientation variables affect the level of individual nature connectedness across studied countries are encouraging. They indicate that some universally applied educational actions may elevate the level of nature connectedness. We argue that exploration of nature connectedness from a cross‐country perspective may provide significant insights into the environmental debate in national and international contexts. Read the free Plain Language Summary for this article on the Journal blog.