Energy security has been one of the most important issues in the European Union over the past few years. Although the debate has focused primarily on the approach of the main EU powers, this research aims at studying the impact of small Member States’ size on their energy security in the EU. Then it provides proposals to safeguard the energy security of EU small countries by providing a comprehensive interpretation of the term alliance in shelter theory. Applying the composed “smallness” index and the quantitative method, the results imply a direct relationship between the small states’ size and energy security in the first step. The study shows that such a relationship cannot be proven in non-small States. Although the EU has tried to strengthen collective energy security in Member States, such differences show that complementary policies are needed to ensure energy security in small countries. Given an extensive interpretation of “alliance” in shelter theory, this research proposes deep integration of the small states’ energy infrastructure in order to ensure their energy security. In the aftermath of the Russian invasion of Ukraine, where the EU’s energy security, especially in the small states, is more fragile than ever, adopting such a policy seems more vital.