Precipitation and evapotranspiration, and in particular the precipitation minus evapotranspiration deficit (P−E), are climate variables that may be better represented in reanalyses based on numerical weather prediction (NWP) models than in other datasets. P−E provides essential information on the interaction of the atmosphere with the land surface, which is of fundamental importance for understanding climate change in response to anthropogenic impacts. However, the skill of models in closing the atmospheric-terrestrial water budget is limited. Here, total water storage estimates from the Gravity Recovery and Climate Experiment (GRACE) mission are used in combination with discharge data for assessing the closure of the water budget in the recent high-resolution Consortium for Small-Scale Modelling 6-km Reanalysis (COSMO-REA6) while comparing to global reanalyses (Interim ECMWF Reanalysis (ERA-Interim), Modern-Era Retrospective Analysis for Research and Applications, Version 2 (MERRA-2)) and observation-based datasets (Global Precipitation Climatology Centre (GPCC), Global Land Evaporation Amsterdam Model (GLEAM)). All 26 major European river basins are included in this study and aggregated to 17 catchments. Discharge data are obtained from the Global Runoff Data Centre (GRDC), and insufficiently long time series are extended by calibrating the monthly Génie Rural rainfall-runoff model (GR2M) against the existing discharge observations, subsequently generating consistent model discharge time series for the GRACE period. We find that for most catchments, COSMO-REA6 closes the water budget within the error estimates. In contrast, the global reanalyses underestimate P−E with up to 20 mm/month. For all models and catchments, short-term (below the seasonal timescale) variability of atmospheric terrestrial flux agrees well with GRACE and discharge data with correlations of about 0.6. Our large study area allows identifying regional patterns like negative trends of P−E in eastern Europe and positive trends in northwestern Europe.