The economic crisis that started in 2008 has negatively affected European nations to different degrees. The sudden rise in demonstrations particularly in those countries most hard hit by the crisis suggests that grievance theories, dismissed in favour of resource-based models since the 1970s, might have a role to play in explaining protest behaviour. While most previous studies have tested these theories at the individual or contextual levels, it is likely that mechanisms at both levels are interrelated. To fill this lacuna, this article examines the ways in which individual-level grievances interact with macro-level factors to impact on protest behaviour. In particular, it examines whether the impact of individual subjective feelings of deprivation is conditional on contextual macroeconomic and policy factors. It is found that while individual-level relative deprivation has a direct effect on the propensity to have protested in the last year, this effect is greater under certain macroeconomic and political conditions. Both significant results for the cross-level interactions are interpreted in terms of their role for opening up political opportunities for protest among those who feel they have been most deprived in the current crisis. These findings suggest that the interaction of the contextual and individual levels should continue to be explored in future studies in order to further clarify the mechanisms underlying protest behaviour.