Water is considered the bloodstream of the biosphere, but its management is one of the most important challenges for human development. In view of the sustainable water management, several approaches have been proposed: Integrated Water Resources Management, Adaptive Management and, more recently, Water–Energy–Food (WEF) Nexus. Considering these approaches, over the last few decades, extensive efforts have been made to develop assessment methods and tools framed within the paradigm of sustainable development. As part of a holistic assessment of water resources, the recent approach based upon the WEF Nexus narrows down the consideration of intersectoral linkages to three dimensions that are of prominent interest, in particular in developing countries. This study presents a comprehensive indicator-based approach for the assessment of water, energy and food securities, with reference to the Sustainable Development Goals of the United Nations. The main ambition of the proposed approach is to provide a tool to monitor progresses, compare different geographical areas, highlight synergies and conflicts amongst and within the three dimensions of the WEF Nexus, and provide support for improved—more effective—management strategies to meet the goals. The proposed approach is demonstrated in the Ganges–Brahmaputra–Meghna (GBM) River Basin in Asia and to the Po River Basin in Europe. The comparative analysis suggests that WEF security is currently rather low in the GBM basin compared to the other case study and other parts of the world and allows the identification of which dimensions (indicators) require special attention on the part of local and global policy makers.