Promoting the coupled development of water, energy, and food (WEF) subsystems is a critical step to enhance synergies and increase efficiencies in the WEF nexus. However, the evolution and obstacles of coupled development are largely ignored. This study developed a framework dividing links in the nexus to select indicators and integrated models for the degree of coordination and obstacle diagnosis to explore the coupled development of the WEF nexus from 2000 to 2020 in the water-scarce megacities of Beijing and Tianjin. The results show that the average coordination degree of the WEF nexus in Beijing (0.315) and Tianjin (0.317) is at a low level, indicating a limited interaction between the WEF subsystems, while the coordinated development degree of the WEF nexus is increasing. The order degree of the WEF subsystems shows a two-level hierarchical structure, indicating that both similarities and differences are included in place-specific characteristics. Furthermore, obstacle factors are identified from water and energy subsystems, in which environmental water use (W3) and the energy consumption per gross domestic production unit (E4) played the most significant roles and require a higher priority in policy response. The results in this paper complement obstacle factor analysis in WEF nexus practice, and provide operational indicators for nexus governance.