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Simple Summary: Nesting sites are one of the main factors driving the presence or absence of hedgehogs in an area, along with food availability and the presence of predators. However, little attention has been paid to them in the literature beyond the study of the hibernacula (winter nests) in northern latitudes, with only a few studies conducted in summer and none of those being in their southern range. Here, we analyse, for the first time in detail, the environmental characteristics of where hedgehogs chose to establish their nests in two urban parks in Alicante (Spain). Our results show that there is a sex difference in the structures selected for nesting. Males used a greater variety of structures than females, which were more selective and showed a preference for certain structures that offered a higher degree of shelter. Both sexes used a similar number of nests; however, the males' nests were more widely dispersed, and they changed nests more often than females, who reused the same nest more frequently. The location of the nests was also influenced by the different topographies and management of both urban areas, stressing the importance of good management of urban green areas in the conservation of this species. Appropriate nesting sites are needed for the presence of European hedgehogs (Erinaceus europaeus) in an area, along with food availability. However, little attention has been paid to them in the literature. This study aimed at analysing, for the first time, the environmental characteristics of nesting sites chosen by hedgehogs, their spatial distribution and the effect of sex and season on them in two types of urban parks in southeastern Spain. A total of 31 hedgehogs were equipped with GPS devices, and 130 hedgehog nests were located and described. Both sexes had a similar number of nests; however, the spatial distribution of the male nests was larger, and they changed nests more frequently than females. The environment around the nests and hosting structures used also differed between the sexes, with males using a higher variety of nesting structures available and females being more selective. The differences in topography and habitat composition of the two urban parks also affected hedgehog nesting ecology, especially in reference to artificial elements like cat feeders. Further studies of nest locations at a microhabitat level are needed to contribute to a better understanding of a hedgehog's requirements, fostering the design of more effective conservation strategies. [ABSTRACT FROM AUTHOR]