SNP leader and First Minister Nicola Sturgeon cast her ballot at the Broomhouse Community Hall in Glasgow on Thursday morning.
She was joined by her husband and SNP chief executive Peter Murrell, and SNP candidate Alexander Kerr.
Ms Sturgeon had earlier tweeted a picture of a pin badge she was wearing of the Scottish saltire and EU flag.
Scottish Conservative leader Ruth Davidson voted in Edinburgh - leaving both her dog and baby son Finn at home when she went to the polls. Afterwards she declared she had done her "democratic duty", urging Scots to vote for her party to "say no more referendums".
Scottish Labour leader Richard Leonard said he had "voted Labour to bring our country together".
Mr Leonard took to twitter after casting his ballot to urge people: "Please use your vote and make your voice heard."
Scottish Liberal Democrat leader Willie Rennie tweeted that he had voted for his party "to stop Brexit".
With the election taking place amid heightened political tension, police have deployed extra officers to deal with any disturbances.
Police Scotland confirmed four units comprising about 100 officers would be "strategically placed" to deal with any incident. This is in addition to usual policing.
Deputy Chief Constable Will Kerr said: "We would never normally need that sort of support, particularly for European elections.
"We do now. The tone is just fundamentally different."
Scotland will send six MEPs to the European Parliament following the election, although Brexit means it is unclear for how long they will have their jobs.
Two of the parties' lead candidates have already served in Brussels and Strasbourg, with the SNP's Alyn Smith and David Martin of Labour both putting themselves forward again.
Baroness Nosheena Mobarik is also hoping to return as a Conservative MEP for Scotland after taking on the job when her Tory predecessor Ian Duncan went to the House of Lords.
At the last European election in 2014, Scotland returned two SNP MEPs along with two Labour representatives, one Tory and one Ukip MEP.
David Coburn, who was Scotland's first elected Ukip politician, is not standing for re-election.
With the polls showing a slump in support for the Conservatives and Labour compared to five years ago, both the Scottish Greens and Nigel Farage's Brexit Party are hoping to see their candidates elected.
Polling stations are open until 10pm, but votes will not be counted until Sunday in most areas.
Counting takes place in the Western Isles on Monday morning, with the full Scottish results to be announced after that.