The COVID-19 pandemic has undermined the ability of many countries to achieve the Sustainable Developments Goals (SDGs) by 2030. Here, we systematically assess the likely impacts of the pandemic on progress towards each SDG by 2030 at global, regional and national scales. In our analysis, we account for the social and economic shocks triggered by COVID-19 and their relative impacts on the SDGs. We also analyze the interconnections between SDG indicators during the pandemic to assess the indirect cascading effects of COVID-19 on the SDGs. We find that these indirect effects slowed progress much more than the direct initial disruptions. Globally, poverty eradication (SDG 1) is most affected by the pandemic. Regionally, SDG progress has been set back most in Latin America and the Caribbean, South Asia, the Middle East and North Africa and Sub-Saharan Africa. We suggest that for high and upper-middle-income countries a focus on reducing inequality (SDG 10) would be most beneficial, whereas for low-income and lower-middle-income countries industry, innovation, and infrastructure (SDG 9) are a priority in the post-COVID-19 phase.