Last fall Sweden practiced defending its Baltic Sea island of Gotland from invasion by a powerful enemy. But the Swedish Air Force didn’t use its own crews and aircraft to play the red side, leaving that role to the Finnish Air Force. Sweden and Finland are integrating their armed forces, and the burden-sharing goes far beyond playing the enemy in exercises. It’s a better model for efficient defense than an EU army.

Europe’s militaries are notoriously wasteful and woefully underfunded. The European Union’s member states spend...