The GPW4 maps (e.g. http://beta.sedac.ciesin.columbia.edu/data/set/gpw-v4-population-density-adjusted-to-2015-unwpp-country-totals) uses lower resolution data sets for some countries than necessary. Nor example, it only goes down to municipality level in Norway, while 250 m resolution for that country is available here:
https://www.ssb.no/natur-og-miljo/geodata
It is distributed as a set of shapes (https://www.ssb.no/natur-og-miljo/_attachment/101145?_ts=13d3e62d7d0), and corresponding densities (https://www.ssb.no/natur-og-miljo/_attachment/260833?_ts=153847c0a78). I'm sure similar data is available for most other European countries.