Roma communities are among the most vulnerable and socially excluded groups in Europe. This chapter highlights the historical and institutional mechanisms of their discrimination and explores the potential of social innovation to combat such discrimination and social exclusion. Two case studies of socially innovative initiatives for the inclusion of Roma in Austria and Hungary are described and their potential for contributing to social cohesion is critically analysed. The authors highlight that path-dependencies in two welfare models with assimilationist tendencies have resulted in difficulties in striking a balance between diversity and equality. They conclude that while European policies have raised awareness on cultural discrimination, socio-economic and political exclusion cannot be addressed solely by local initiatives.