The 2030 Agenda for Sustainable Development is the most ambitious international effort to integrate the three dimensions of sustainability in a unifying and universal vision for the future, but the interconnectedness of its 17 Sustainable Development Goals (SDGs) requires national and local governments to overcome siloization and consider existing synergies and trade-offs among them. This work reviews the potential benefits from employing a Nexus approach, originally developed to deal with systems of interconnected natural resources, to address these interconnections and effectively implement the 2030 Agenda. First, as a discourse, the nexus may improve the integrated understanding of the SDGs and guide their prioritization. Second, as a governance framework, it could foster cross-sectoral and multi-level coordination and policy coherence to enable the implementation of the 2030 Agenda. Last, as an analytical tool, it could offer a large set of interdisciplinary methodologies to model SDGs’ interactions, synergies, and trade-offs. While several limitations are still to overcome, a nexus lens to the implementation of the 2030 Agenda promise to support the adoption of sound policies for dealing with complex challenges in the Anthropocene.