The Central Asia and Caspian region is a geographical area facing the harsh effects of climate change, such as rapid temperature rise, water body desiccation, and biodiversity losses. Nevertheless, national climate policies in the region have not demonstrated the necessary ambition. A first glance primarily points to the abundance and exploitation of fossil fuels. Taking a closer look at the national and regional context, we identify a diversity of infrastructural, economic, and social challenges to the region’s sustainable development. To further examine the relationship between sustainable development and climate change, our study carries out a stakeholder-driven multiple-criteria group decision and consensus analysis. This exercise aimed at capturing the importance of different sustainability dimensions, using the UN’s Sustainable Development Goals as reference points, from the regional stakeholders’ perspective. A diverse pool of stakeholders helped prioritise each Goal, yielding overall agreement that clean energy, urban sustainability, effective waste management, and biodiversity preservation should be prioritized. Issues related with waste management and responsible consumption were ranked as the most important for climate action. Conversely, the analysis showed that social sustainability – including eliminating poverty, hunger, and inequalities – is of less urgency due to recent progress, especially when considered within the confines of climate action.