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I have a single entry Schengen visa. The cheapest flight I am getting from Prague to Delhi is Finnair with a 22 hour connection at Helsinki. If it is just one ticket and the bags are checked through to Delhi from Prague, where do I go through passport control?

Because once I am stamped out of Schengen, I can't leave the airport. If the passport control happens at Helsinki, would I be able to go out and have a day trip in Helsinki? Or would passport control happen in Prague?

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You always go through passport control on your last exit point out of the Schengen area, in this case Helsinki airport. Likewise you always go through passport control on your first entry point into the Schengen area.

Thus you are free to have a day trip in Helsinki before getting stamped out of the Schengen area. In order to do so you need to head for the exit when you reach Helsinki airport, instead of going through the transfers corridor. Then when you're done with the day trip you come back to the airport and go to your gate, passing through immigration on your way out of the country.

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    There is a (fairly rare) exception to this, which is flights that originate from or terminate in the Schengen area and also have stopover in the Schengen area where some passengers remain on the plane. The intra-Schengen leg of such a flight is treated like an external flight. – phoog Mar 8 at 1:04
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    @phoog Can you give a for-instance example of such a flight? – smci Mar 8 at 6:58
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    @smci One example. travel.stackexchange.com/questions/121274/… – Max Payne Mar 8 at 8:18
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    I think it's worth adding to this answer that you don't normally go through any passport control at all when travelling within the Schengen area. – David Richerby Mar 8 at 11:03
  • @smci the rules for such flights are laid out in Annex VI of the Schengen Borders Code at 2.1.2(b). – phoog Mar 9 at 1:55

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