The extremely serious negative effects, on financial systems and real economies, of the recent international crisis are proof of the crucial importance that a stricter monitoring of the soundness of the banking sector has, in order to identify the strengths and vulnerabilities of banks, knowing that, the later the problems are identified, the more expensive the countermeasures are and the higher the risk that vulnerabilities would propagate into the entire financial system is. Thus, our paper aims to comparatively investigate the financial soundness of the banks operating in the EU Member States in recent years. The results of our analysis highlight the strengths and the vulnerabilities of these banking sectors and underline the need to prioritize policy makers’ concerns, both at micro and macro levels, in order to improve and increase the financial soundness of banks.