The Asian Alpine Belt (AAB) region extends from the Tibetan Plateau to the Caucasus. Rapid climate change and increasing anthropogenic pressures in the ecologically sensitive alpine area are making the achievement of sustainable development goals in the AAB more challenging. The water–food–energy–ecosystem (WFEE) nexus describes the trade-offs and synergies among the various elements of water, food, energy resources, and natural ecosystems relevant for sustainable development. The optimization of the WFEE nexus in the AAB region has become a vital issue for reaching sustainability in this ecologically fragile Eurasian region and its developing countries. In this paper, we broadly classify research into four types based on a compilation of recent research on the WFEE nexus in the AAB region: ecohydrological processes, agriculture and livestock, clean energy, and local social adaptation. We use the classification–coordination–collaboration approach to build an optimized conceptual framework to indicate a future research path. The outlook includes enhanced identification of the WFEE nexus, scientifically rational decision-making, and attention to cross-sector and transnational collaboration to support the realization of sustainable development goals in the AAB region.