The concept of sustainable development integrates activities in the economic, environmental and social areas. Energy policy, which is very closely linked to climate protection, is of key importance for achieving the goals of the concept in question. All these elements are connected by the European Green Deal strategy and Agenda 2030. Their implementation requires the evaluation of previous actions undertaken within the framework of sustainable development and the diagnosis of the current state. Therefore, this article presents the results of such research in relation to the key industry connected with this process, which is the energy sector. The research methodology was based on the analysis of 14 indicators that characterize four basic areas (dimensions) related to energy and climate sustainability. These indicators concern energy and climate as well as social and economic issues. This approach makes it possible to comprehensively assess the actions taken so far in the implementation of sustainable economic development in the energy and climate area in the European Union (EU) countries. The entropy-complex-proportional-assessment (COPRAS) methodologies, which belong to the group of multiple criteria decision-making methods, were used for this study. The conducted research allowed for the assessment of the changes in the EU countries in terms of energy and climate sustainability between 2009−2018. In addition, the effects of the introduced changes in individual years and in relation to the studied areas (dimensions) were also evaluated. Based on the results, considering the adopted criteria, the EU countries were divided into groups similar to the level of energy and climate sustainability. The results constitute a valuable set of data, which allows for a wide and in-depth multicriteria analysis. This allows for a very objective and broad assessment of the effects of sustainable development policies in the EU countries and the current state in the context of the European Green Deal strategy and Agenda 2030.