Drawing on a wide range of literary figures, movements, and traditions, from the Spanish Golden Age, to German Romanticism, to French literary theory and philosophy, to Jewish modernist fiction, this dissertation argues for the emergence of a distinct mode of writing in European novels written and published at the turn of the millennium. Exploring the ways in which certain works of fiction engage with a sense of cultural and historical lateness in their narratives, this study shows that a melancholy perspective on the past emerges in various novels from discrete national traditions within a broader Western European context. Within this framework, the self-consciously late and melancholy narrators of these novels are understood to exemplify a form of literary cosmopolitanism. Combining close readings of three culturally significant works of European fiction - Dora Bruder by Patrick Modiano (1997), Austerlitz by W. G. Sebald (2001), and Sefarad by Antonio Muñoz Molina (2001) - with historical and theoretical comparisons within specific national contexts, this study explores the literary influences on and intertexts of the three novels it examines in order to suggest that a latent possibility of futurity and resistance to the obsolescence of the European may be perceived through these novels' late and melancholy aesthetics. As well as new insights into the individual novels it examines, and the identification and analysis of a particular constellation of European novels published around the turn of the millennium, this study proposes a way of reading that suggests commonalities across linguistic, territorial, and literary boundaries in Europe, while among them unique distinctions maintain these demarcations, even as the act of reading these novels alongside one another might suggest that such boundaries are overcome. Drawing on comparative consideration of the legacies of national literary traditions and their manifestations in these novels, while emphasizing the constitutive tensions within their aesthetics, this study's delineation and analysis of melancholy cosmopolitanism constitutes a new model for engaging with and understanding European fiction published around the end of the twentieth century and turn of the twenty-first.