Western Hunter-Gatherers
WHGs are the earliest known inhabitants of Europe. They are believed to have entered the continent around 45,000 years ago and relied on hunting wild game, fishing and foraging for subsistence. These groups left behind a rich archeological record, including cave paintings and figurines.
WHGs had a curious phenotype. Genetic analysis shows that they had genes for dark skin but at the same time blue eyes. They also seem to have been more robust than modern Europeans.






Donna del Caviglione (aka Lady of Cavillon) represented above measured 6'2" and was a statuesque Amazon of a woman. She is believed to have lived 24,000 years ago.

The above is Pataud Woman, found in Aquitaine in the southwest of France. She is believed to have lived 17,000 years ago.
Anatolian Farmers
AFs entered Europe from the Middle East via the Anatolian Peninsula some 8,000-9,000 years ago. As their name suggests, they brought with them agriculture, crops such as wheat and barley, and domesticated animals such as sheep and goats.
AFs had a phenotype which we today might consider Mediterranean or Southern European. They were slighter than other prehistoric ancestral populations in Europe, had lighter skin relative to the indigenous Western Hunter-Gatherers (mostly an olive skin complexion), and had brown eyes. The AF genetic component is the most prominent in Southern European populations such as Greeks, Albanians, Sardinians, and various types of Italians.
These AFs quickly outnumbered and intermixed with the indigenous Western Hunter-Gatherer populations and spread their sedentary agricultural lifestyle throughout most of Europe. The hybrid population which would result from this was the Early European Farmers (EEF). However, due to numerical superiority, the AF component would be dominant.
Anatolian Farmer woman found in Gibraltar in the Iberian Peninsula:

Early European Farmer (hybrid) woman found in Ballynahatty, Northern Ireland:

Yamnaya Steppe Pastoralists
Yamnayas were a subgroup of Indo-Europeans or "Aryans" who entered Europe from the Pontic-Caspian Steppe some 4,000-5,000 years ago. They were pastoralists and skilled horsemen who had domesticated Central Asian horses and even developed chariots. Some interpretations depict them as fierce and unparalleled warriors and describe their entry into Europe as an incredibly barbaric event. However, much about the Yamnaya people is still open to debate.
Contrary to popular belief, the original Yamnayas weren't light-skinned or blond-haired. They tended to have darker or intermediate skin tone and brown eyes, possibly resembling modern Northern Indians. The genes for light skin and blond hair might have entered the Yamnaya people at a later stage of their development through intermixing with Ancient North Eurasians (ANE) who migrated westward from Northern Siberia.
The Yamnaya people are believed to have been particularly tall and well-built. Some of the males were colossal.
The Yamnaya people brought the Indo-European languages into Europe.

This big burly fella, who looks like a slightly lighter-skinned version of the Iron Sheik, measured 6'6"!!! Some of these powerful horseman warriors would have been absolutely terrifying!!!



Conclusion
The above three prehistoric ancestral populations are the basic elements which mixed together to form modern European populations. However, the degree of admixture differs significantly by region, with some populations having more Anatolian Farmer ancestry (e.g., Southern Europeans and Sardinians in particular) and others having more Yamnaya ancestry (e.g., Germanics and Baltics).

Of course, all of the above is somewhat of a simplification of the real situation. In reality, certain other prehistoric ancestral populations further contributed to the development of some modern Europeans such as the Ancient Northern Eurasians (ANE) whom I touched upon momentarily and there also emerged localized population clusters such as the Eastern Hunter-Gatherers (EHG) and Scandinavian Hunter-Gatherers (SHG).