As with any GSM(used generically, classic 'GSM' being mostly extinct; but if it's a successor to GSM and it uses something that looks like a SIM, it's 'GSM' to me) AT&T can and sometimes does SIM-lock devices.
Their description of the conditions under which they will deign to unlock a humble petitioner's device is not exactly terse; but it could be considerably less readable than it is.
IFF your pleas are accepted, your AT&T device will at least attempt to interact with a heathen, commie, euro-SIM.
Now the fun begins: AT&T is active on 850MHz and 1900MHz for UMTS/HSPA+ services and
700MHz, 1700MHz, 1900MHz, and 2300MHz for LTE (though not necessarily all bands in all areas). So, if a phone doesn't support at least some of these, they probably don't sell it, though a phone that they sell may not support all bands that they use and may support additional bands that they don't use; but that the handset manufacturer included because they sell to other carriers as well.
So consult the rows for Operating Band 2 and Operating Band 5 on this chart to see if your region overlaps with AT&T on UMTS service and rows for Operating Band 2, 4, 17, and 30 on this one for LTE overlap.
Despairing is optional; but understandable.
In practice, you are probably better off just assuming that if AT&T sells it, it obviously works in their home market, then checking their 'please sir, I want to remove my SIM lock' page to see if you are eligible, then checking with the device vendor for frequency support.
In the case of this device, "UMTS/HSPA+/DC-HSDPA (850, 900, 1700/2100, 1900, 2100 MHz), Quad-band
GSM/EDGE (850, 900, 1800, 1900 MHz), 9 bands of 4G-LTE (Bands 1, 2, 3,
4, 5, 7, 8, 17, 20)" quoth Amazon.
So, if AT&T will unlock it, Europe is probably a go(assuming your vendor of choice will issue you a nano-SIM, or you feel like cutting one down).
Isn't RF allocation neat?