Yes, Arsenal FC has won a European competition, the UEFA Cup Winners' Cup in the 1993-1994 season.

The UEFA Cup Winners' Cup was a competition for the winners of domestic cup competitions in Europe. Arsenal qualified for the competition by winning the 1993 FA Cup.

In the final, Arsenal faced Parma, the winners of the Italian Cup. The match was played at the Parken Stadium in Copenhagen, Denmark. Alan Smith scored the only goal of the game in the 21st minute, securing Arsenal's victory and their first European trophy.

Arsenal also reached the final of the UEFA Champions League in the 2005-2006 season, but were defeated by Barcelona.

Overall, Arsenal has a strong record in European competition, having reached the final of the UEFA Cup in 2000 and the semi-finals of the Champions League on multiple occasions.

References:

• "Arsenal's European history: The 1994 Cup Winners' Cup triumph" - ESPN, May 2019
• "Arsenal's European history: A 2006 final defeat to Barcelona" - ESPN, May 2019
• "Arsenal's European history: A look back at the Gunners' successes and failures" - The Independent, May 2019