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Scientific research has been acknowledged to play a pivotal role in achieving the United Nations’ 2030 Agenda. Vice-versa, since its adoption, the 2030 Agenda has been reinvigorating the academic production on sustainable development. This study provides a systematic literature review of the most used and newly developed approaches by academic research to support the achievement of the SDGs in the EU. The results are presented by descriptive, bibliometric, and content analysis. The descriptive analysis highlights a rising interest of scholars in operationalizing the 2030 Agenda, with a growing interest at the urban level. A text-mining tool was employed to scan the most investigated SDGs in the selected papers. Major interest by scholars is devoted to environmental concerns (especially linked to SDG 13, 7, 6, 12, and 15), while social issues (e.g., SDG 4, 5, and 10) still deserve more research. The bibliometric analysis unveiled poor intra-cluster connections, highlighting the need for more transdisciplinary research. The most recurrent research fields on the SDGs in the EU are governance, circular economy, ecosystem services, urban localization, and decision making. We advise future studies to focus on gaps highlighted and adopt a system perspective, boosting Policy Coherence across governance levels and scales of implementation by looking at trade-offs and assessing context-specific priorities.