As a special socio-ecosystem, urban sustainability has been challenged by frequent human activities and natural disasters. Including climate into the socio-ecosystem evaluation framework, this paper constructed the climate, eco-environmental, and socio-economic evaluation index, respectively, to evaluate the core cities’ socio-ecology in China’s three economic circles. An improved entropy-TOPSIS method was subsequently employed to identify the contribution made by each indicator of the compound system, and a modified ternary Coupling Coordination Degree (CCD) model was developed to probe into the CCD levels among the three systems during the study. The results showed that: (1) The climate system’s composite scores were characterized by inter-annual fluctuation without a time trend. However, the system’s risk increased, manifesting in an increased probability of extreme weather events, especially in Shanghai. (2) The eco-environmental system witnessed an enormous stride, rising above the level of socio-economic development after 2007. Besides, the gap between the eco-environment and the socio-economy was gradually enlarged since 2014. (3) The eco-environment made the most contribution to the CCD’s improvement, meaning enhancing the eco-environmental performance was of paramount significance. The findings can help the government formulate more effective measures to balance climate, eco-environment, and socio-economy to achieve sustainable urban development.