The origin of the Xiongnu and the Rourans, the nomadic groups that dominated the eastern Eurasian steppe in the late first millennium BC/early first millennium AD, is one of the most controversial topics in the early history of Inner Asia. As debatable is the evidence linking these two groups with the steppe nomads of early medieval Europe, i.e. the Huns and the Avars, respectively. In this paper, we address the problems of Xiongnu–Hun and Rouran–Avar connections from an interdisciplinary perspective, complementing current archaeological and historical research with a critical analysis of the available evidence from historical linguistics and population genetics. Both lines of research suggest a mixed origin of the Xiongnu population, consisting of eastern and western Eurasian substrata, and emphasize the lack of unambiguous evidence for a continuity between the Xiongnu and the European Huns. In parallel, both disciplines suggest that at least some of the European Avars were of Eastern Asian ancestry, but neither linguistic nor genetic evidence provides sufficient support for a specific connection between the Avars and the Asian Rourans.