General strikes in Spain and Portugal halted transport, businesses and schools and led to clashes between police and protesters in Madrid.
Smaller strikes were reported in Greece, Italy and Belgium, and rallies were planned in other countries.
Hundreds of flights have been cancelled in Spain and Portugal.
Airlines are recommending passengers check the schedules before setting out to airports.
The European Trade Union Confederation has co-ordinated the Europe-wide action.
The confederation's Judith Kirton-Darling told the BBC that austerity was not working.
"It's increasing inequalities, it's increasing the social instability in society and it's not resolving the economic crisis," she said.

Some 40 groups from 23 countries are involved in Wednesday's demonstrations.
'There is just no work'
Unions in Spain and Portugal started strikes at midnight to protest against austerity measures that have combined tax rises with cuts in salaries, pensions, benefits and social services.
Marchers came out late on Tuesday in Spain, where 25% are unemployed, the highest rate in Europe.
"I have two sons in my house, one is getting subsidies, the other has been at home for the last three years," said protesting housewife, Paqui Olmo. "It is not that he doesn't want to work, there is just no work."
In the first reported clashes of the day, picketers and police fought at a Madrid bus depot where demonstrators were trying to stop buses from leaving.
There were outbreaks of violence in other Spanish cities, and the interior ministry said more than 30 arrests had been made. The government has played down the strike, saying the electricity grid is registering 80% of its normal usage.
But unions claim the operations of several large companies, including Danone and Heineken, have ground to a halt. In neighbouring Portugal, demonstrators took to the streets in the early hours, carrying banners denouncing the European Union, International Monetary Fund and European Central Bank.
The so-called troika has bailed out Portugal to the tune of 78bn euros ($100bn; £62bn), and demanded deep austerity measures in return.


Source says public transport has come to a virtual standstill, and many schools and public offices are expected to be closed.
In Italy, unions have called for a series of rolling four-hour strikes through the day which were expected to affect road, rail and air transport. Correspondents said early signs were that the impact had been fairly limited.
In Greece, the strike action is the third major walkout in two months. Successive governments have been pushing through deeply unpopular spending cuts and tax rises in order to receive bailout payments from the IMF and EU.
Earlier this week, MPs backed a fifth austerity package of salary and pension cuts and labour-market reforms, as well as a stringent budget for next year. The IMF and EU had demanded the measures in return for the next 31.5bn-euro instalment of the bailout.
The government, which is being forced into short-term financing in the bond markets, says it needs the bailout to avoid bankruptcy.

Athens police said they expected about 10,000 people to protest, which is a relatively small demonstration by the standards of Greece.
In France, the CGT union has called for public sector strikes, but there are questions about how many workers will stay away.
The strikes are not anti-government, analysts say, but rather a way of showing that workers in France are in solidarity with their fellow-workers elsewhere in Europe. While some Belgian unions have said they will not be striking, all have expressed solidarity with the day's protests.
Protesters are expected in Brussels outside the embassies of Germany, Spain, Greece, Cyprus, Portugal and the Republic of Ireland.
And Eurostar has warned of delays or cancellations and advised passengers wanting to travel from London to Brussels not to travel on Wednesday.