Millennials (1982-2003) witnessed a set of events during their lives that differentiated them from older age cohorts (Generation X, Boomers, and Silents). Thus, one can also expect that Millennials’ web survey participation differs from that of older cohorts. The goal of this study is to compare Millennials to older cohorts on different aspects related to web survey participation: participation rates, break-off rates, smartphone participation, survey evaluation, and data quality. We use data from two online probability-based panels covering four countries: the CROss-National Online Survey (CRONOS) panel in Estonia, Slovenia, and the UK, and the German Internet Panel (GIP). We find significantly lower participation rate for Millennials than for older cohorts and higher break-off rate for Millennials than for older cohorts in three countries. Smartphone participation is significantly higher for Millennials than for Generation X and Boomers in three countries. Comparing Millennials and Silents, we find that Millennials smartphone participation is significantly higher in two countries. There are almost no differences in survey evaluation and data quality across age cohorts in the descriptive analyses, but some age cohort effects in regression analyses. These results suggest that it is necessary to develop new strategies to encourage Millennials’ participation in online surveys.