The countries of south-eastern Europe at the beginning of the last war were caught, as they themselves put it with as much self-deprecation as fear, between the Axis hammer and the Russian anvil. There was almost a touch of defiance in their description, as if the extraordinarily high odds against their survival confirmed in their eyes their claim to national independence and to world attention. In fact over the 20 years of their existence they had made a virtue of the politics of Kleinstaaterei, of the fact that their destiny was determined not by themselves but by the Great Powers surrounding them. The Balkan states were creatures of Great Power politics and, with an unerring appreciation of their dependence on powerful neighbours, they looked to London or Paris or Rome or Berlin or Moscow for sustenance and direction. And yet—and this is the crucial paradox—they continued to harbour, side by side with their acknowledged dependence on the Great Powers, a deeply felt longing for collective independence and for political self-sufficiency. This paper is concerned with the desperate attempts of the Balkan countries in the autumn of 1939 to harmonize these conflicting requirements by promoting collective independence in the form of a bloc of neutrals under the leadership of a Great Power.