Spain in 1898–99 intended to lease “its” West African colony, Rio de Oro, today’s Western Sahara, to the Austro-Hungarian Monarchy. This article presents new archival evidence in order to show why this initiative was thwarted. The authors conclude that the AustroHungarian Empire failed to acquire colonies in Western Sahara and elsewhere due to the lack of appropriate means, opportunities, and also the internal Hungarian resistance; coupled with the risk averse nature of local entrepreneurial circles and the state apparatus.