<p>The sustainable development framework highlights the close relationship between food, energy, and water resources, emphasizing the need for a more integrated development mode. This work considers the internal network structure of the water-energy-food (WEF) nexus and develops a cooperative game model based on network data envelopment analysis (DEA) to simultaneously maximize the potential joint efficiency of the water, energy, and food subsystems, improving the rationality and accuracy of DEA in evaluating WEF nexus efficiency. A factor efficiency analysis further highlights the sources contributing to the WEF nexus’s inefficiency, allowing for the identification of factors that need improvement to enhance its performance. An application of the sustainability efficiency assessment of European Union (EU) countries is investigated. Our result shows that the average efficiencies of the water and energy subsystems are higher than 0.9, while the average efficiency score of the food subsystem is 0.767. It suggests that the average performance of the water and energy subsystems is better than that of the food subsystem. A comparison of the proposed method with other network-based DEA models is provided to demonstrate the practical advantage of the proposed method. Novel findings and recommendations are also included. This work provides an innovative modeling and analytical method for researching the interlinked WEF nexus and offers reliable evaluation bases for EU policymakers in achieving national sustainable development goals from the WEF nexus perspective.</p>