Two major international frameworks provide landmarks for future development paths: the UN Sustainable Development Goals (SDGs) and the Paris Climate Agreement. Monitoring the progress towards achieving the individual goals must take into account a multitude of synergies and trade-offs. In this paper we use composite indices to analyse climate and energy policies in selected EU member countries. These results show that, in general, the improvements regarding energy efficiency, emissions and deployment of renewables have been moderate in the period under observation (2005–2015). This hints at the time needed for restructuring to take place, which underlines the importance of credible political commitments to climate targets, the implementation of ambitious instruments and the need for stability in the guiding frameworks to effectuate substantial changes. In addition, the analysis of the selected countries shows that they are characterised by very specific energy systems (complemented by specific social structures), and this determines the challenges that each country must overcome on the way to decarbonisation and sustainable development. While the SDGs are to be implemented on a global scale, it is necessary to adapt them to the characteristics of a given country or region. Reliable and long-term quantitative data that is comparable across countries or regions and that takes into account the social dimension is required to be able to monitor the overall progress of SGD implementation.