The notion of a water–energy–food (WEF) nexus was introduced to encourage a more holistic perspective on the sustainable development of natural resources. Most attention has been directed at identifying potential synergies and trade-offs among sectors that could be addressed with improved technologies and management. The governance of the WEF nexus more broadly has received comparatively little attention, and the importance of scale in space and time has been largely ignored. Inspired by scholarship on multi-level governance in individual sectors, this paper identifies four scale-related governance challenges in the WEF nexus, namely: (1) scalar fit, which arises when planning and operating procedures work at different levels along the scales of space and time in different sectors; (2) scalar strategies, wherever the levels at which actors have influence and in which action takes place are contested and negotiated; (3) institutional interplay, where rules and norms in different sectors influence each other at different levels; (4) scalar uncertainty, arising out of the complexity of multi-level and multi-scale interactions. The relevance of these four challenges is illustrated with case studies from developed and developing countries. These examples show the importance of considering multiple levels and scales when assessing the likely effectiveness of WEF nexus governance mechanisms or proposals. The cases underline the need to pay close attention to issues of power, contestation, and negotiation, in addition to the analysis of institutional design. Thus, this paper recommends that nexus governance efforts and proposals be scrutinized for scale assumptions. The four identified challenges offer a suitable starting point for diagnosis.