The Sustainable Development Goals (SDGs) provides China’s Belt and Road Initiative (BRI) with a strategic policy framework for pursuing societal prosperity without undermining environmental sustainability. However, very few studies have focused on the assessment of the environmental sustainability of nations partnering the BRI. Following a precautionary principle that the strong sustainability lies in the maintenance of critical natural capital stocks, this paper attempts to determine the state of land as critical natural capital for biomass production and carbon dioxide sequestration in BRI countries using an improved three-dimensional ecological footprint model, and explores the socioeconomic drivers behind using spatial econometric models. Our time-series analysis for the period 1996–2016 shows that the use of land as natural capital in most BRI countries has been operating in a state of environmental unsustainability over a long period of time. Forest and cropland are found to be major sources of natural capital flows, while suffering from severe depletion of natural capital stocks simultaneously. Overall, the appropriation of natural capital flows remains relatively stable but uneven, with rich appropriation of flows in Europe, Central Asia and Southeast Asia. The depletion of natural capital stocks primarily shows an increasing trend, with intensive stock depletion mainly in West Asia, East Asia and South Asia. Overall, population density and per capita GDP are identified as major contributors to BRI’s environmental unsustainability, whereas the proportion of exports in GDP and the proportion of built-up area considerably drive the decline in unsustainability. These findings suggest that tackling environmental unsustainability due to inappropriate land use constitutes a major challenge for BRI nations, thus underpinning the necessity of environmentally friendly policies in the pursuit of SDGs.