I set my Mac to receive the date and time from time.europa.apple.com, and my iPhone is set to find a time zone automatically. But they both show me incorrect time. one hour later. Well, I live in St-Petersburg, Russia, and some years ago we had this "timezone changing", to not differ from Europe, but later we returned back to the previous. So is the Apple server set up incorrect, or do I have to change something?
The server has nothing to do with the time zone. It supplies the time in UTC+0, and it is up to your devices to use their knowledge of your time zone to work out what the time is where you are. For your Mac, in the Date & Time preferences, check where your Mac 'thinks' it is:
The same applies for your iPhone:
If it is identifying you as being in the wrong time zone, or if the time zone is correct but the time is wrong, I suggest setting your time zone to St Petersburg manually, and seeing if that fixes the problem. I just tried setting my time to St Petersburg manually, and it appeared to be the correct time, so I don't think Apple's information about Russia's time zones is out of date.