How do residual water molecules in ionic liquids (ILs) interact with themselves, as well as with the ions? This question is crucial in understanding why the physical properties of ILs - and chemical reactions performed in them - are strongly affected by the residual water content. There have been three conflicting hypotheses regarding the structure and behaviour of the residual water: (i) water molecules are separated from one another, while interacting strongly with the ions, and dispersed throughout the medium; (ii) water molecules self-associate or form clusters in the ILs; (iii) residual water weakens ion-ion interactions. A satisfactory resolution of these conflicting suggestions has been hindered by the complexity and long range of the interactions in the water-IL mixture and by the often profound differences in physical structure between various different ILs. Here we present a route to resolve this question through a combination of a statistical thermodynamic theory (Kirkwood-Buff theory) with density and osmotic data from the literature. The structure of water-IL mixtures is shown to be water content dependent; at the lowest measured water concentration, strong water-IL interaction and water-water separation are observed in accordance to (i), whereas water in a more hydrophobic IL environment seems to self-associate at moderately low water concentrations, in accordance with (ii). A rigorous statistical thermodynamic theory clarifies how residual water molecules interact in three dialkylimidazolium ionic liquids.