Based on fieldwork conducted among several Bayash communities in the Balkans, the author examines the way in which the interlocutors assume an identity and try to construct a past for their people, using etiological legends about the origin of their community which combine heterogeneous historical and geographical knowledge. The author shows that imagining their past is as problematic for the Bayash as it is for any other Roma or non-Roma group; the author argues that the eclectic nature of this process is heralded by the fact that it is a regular stage in the development of the historical thinking of each nation.