We present the results of the Air Pollution and Health: A European Approach 2 (APHEA2) project on short-term effects of ambient particles on mortality with emphasis on effect modification. We used daily measurements for particulate matter less than 10 μm in aerodynamic diameter (PM10) and/or black smoke from 29 European cities. We considered confounding from other pollutants as well as meteorologic and chronologic variables. We investigated several variables describing the cities’ pollution, climate, population, and geography as potential effect modifiers. For the individual city analysis, generalized additive models extending Poisson regression, using a smoother to control for seasonal patterns, were applied. To provide quantitative summaries of the results and explain remaining heterogeneity, we applied second-stage regression models. The estimated increase in the daily number of deaths for all ages for a 10 μg/m3 increase in daily PM10 or black smoke concentrations was 0.6% [95% confidence interval (CI) = 0.4–0.8%], whereas for the elderly it was slightly higher. We found important effect modification for several of the variables studied. Thus, in a city with low average NO2, the estimated increase in daily mortality for an increase of 10 μg/m3 in PM10 was 0.19 (95% CI = 0.00–0.41), whereas in a city with high average NO2 it was 0.80% (95% CI = 0.67–0.93%); in a relatively cold climate the corresponding effect was 0.29% (95% CI = 0.16–0.42), whereas in a warm climate it was 0.82% (95% CI = 0.69–0.96); in a city with low standardized mortality rate it was 0.80% (95% CI = 0.65–0.95%), and in one with a high rate it was 0.43% (95% CI = 0.24–0.62). Our results confirm those previously reported on the effects of ambient particles on mortality. Furthermore, they show that the heterogeneity found in the effect parameters among cities reflects real effect modification, which is explained by specific city characteristics.