Sustainability is a hot topic in our current society, and its effective measurement continues to be a challenge for researchers and practitioners. This issue is especially important, and at the same time delicate, in tourist destinations, where the interests of very diverse stakeholders intersect. In this paper, a novel combination of methodologies is proposed to treat this problem comprehensively. This methodology includes a) the identification of the interest groups, as well as the determination of the relationships between them; b) the collection and treatment of their opinions on the sustainability of the destination; and c) incorporating these opinions into a method for constructing composite sustainability indicators. The method used also incorporates two interesting features. On the one hand, it allows considering limits (or targets) for the different indicators considered. On the other hand, it allows the construction of synthetic indicators with different compensation levels, in accordance with the weak and strong sustainability paradigms. For illustrative purposes, the methodology is applied to the Costa del Sol (Spain), making use of a pre-existing system of indicators.