The recent shift from the Millennium Development Goals to the much broader Sustainable Development Goals has given further impetus to the debate on the nexus between the multiple sectors of policy-making that the Goals are to cover. The key message in this debate is that different domains—for instance, water, energy and food—are interconnected and can thus not be effectively resolved unless they are addressed as being fully interrelated and interdependent. Yet while this overall narrative is forcefully supported in the new UN 2030 Agenda for Sustainable Development and the 17 Sustainable Development Goals that are the main part of this agenda, many Goals still remain sectoral in their basic outlook. This now requires, we argue, a new focus in both policy and research on the nexus between different Sustainable Development Goals, especially with a view to reforms in the overall institutional setting that is required to sufficiently support such a nexus approach. This article thus examines the nexus approach in the context of the Sustainable Development Goals and identifies multiple avenues for its institutionalisation in global governance.