The study of the water–energy–food (WEF) nexus has received increasing attention by the science community and related stakeholders on a worldwide scale, focusing on how these three elements can interact sustainably. Even though many research papers, indices and tools have been recorded, the understanding of interconnection among the elements of the WEF nexus still remains elusive. The aim of this research is to investigate the progress that has been made in the development of methods and tools studying the interconnection between the three resources, namely, water, energy and food. A concise and focused review is carried out, highlighting the parameters and the key stakeholders as evidenced by various approaches. In addition to the optimisation methods and tools that have already been applied in specific problems, special focus is also given to the indicators used in reference to their spatial and temporal dimensions.