Stigma and social exclusion related to mental health are of substantial public health importance for Europe. As part of ROAMER (ROAdmap for MEntal health Research in Europe), we used systematic mapping techniques to describe the current state of research on stigma and social exclusion across Europe. Findings demonstrate growing interest in this field between 2007 and 2012. Most studies were descriptive (60%), focused on adults of working age (60%) and were performed in Northwest Europe—primarily in the UK (32%), Finland (8%), Sweden (8%) and Germany (7%). In terms of mental health characteristics, the largest proportion of studies investigated general mental health (20%), common mental disorders (16%), schizophrenia (16%) or depression (14%). There is a paucity of research looking at mechanisms to reduce stigma and promote social inclusion, or at factors that might promote resilience or protect against stigma/social exclusion across the life course. Evidence is also limited in relation to evaluations of interventions. Increasing incentives for cross-country research collaborations, especially with new EU Member States and collaboration across European professional organizations and disciplines, could improve understanding of the range of underpinning social and cultural factors which promote inclusion or contribute toward lower levels of stigma, especially during times of hardship.