Multiple deprivation indices (MDIs) measure community-level deprivation using various socio-economic indicators such as education level, unemployment rate, or family structure. With their growing use across Europe and the need to evaluate health impacts on vulnerable populations, this scoping review provides an overview of MDIs in the region. Insights into their construction methods will help provide guidance to researchers in developing future indices. This scoping review was conducted as part of the four-year research project funded through EU Horizon Europe-Burden of disease-based methods for estimating the socio-economic cost of environmental stressors (BEST-COST). We searched Medline, Embase, and Web of Science using terms covering deprivation in Europe. Articles meeting the inclusion criteria were reviewed to identify MDIs and their methodologies. Those including a health indicator were excluded from the study. From 163 articles meeting our inclusion criteria, 18 MDIs were identified. The number of underlying indicators ranged from 4 to 22 across MDIs. Most indices were built for small geographical areas, such as municipalities, districts, or census tracts. Ten indices applied weights derived from statistical methods such as principal components analysis, while the other eight applied equal weights and calculated the index as a simple arithmetic sum or mean composite score. The review highlights high variability in MDI methodologies and emphasizes that aligning MDI selection with the context and objectives of a study. Furthermore, due to the vast cultural and geographical diversity across European countries, developing a Europe-wide index requires careful consideration of the methodologies to be employed.