The most reliable way to support sustainable development is given by creation and implementation of a political strategy. The European Union (EU) has many successful experiences in this field. However, the periodical monitoring reports indicate several important challenges to be met by the EU policy in future. Currently, the EU sustainable development strategy is in progress of being updated and adjusted to new economic, ecological, and social challenges. In this paper, the previous and current achievements in the field of sustainable development policy are analyzed. Further, based on the defined challenges, some recommendations for the future are formulated. The presented investigation shows the necessity of reconsidering some political instruments and practices realized in the past.