Water, energy, and food (WEF) are vital strategic resources for human survival and development, which are interacting positively or negatively. While WEF sustainability has received significant attention and extensive research has examined its interactions, there are a few studies exploring the trade-offs arising from advancing the sustainable development process. This paper aims to study the internal interrelation and external impact on WEF sustainability from the perspective of Sustainable Development Goals (SDGs). We first quantified the WEF sustainability at the provincial level in China from 2003 to 2020, then used panel vector autoregression (PVAR) to identify the interactions within the WEF system and examined how related SDGs actions (SDG 8, 12, 13) affected it. The findings revealed spatial disparities in sustainable processes across provinces. Internally, prioritizing water-sustainable actions fostered overall synergistic development, while trade-offs emerged between food and energy systems. Externally, SDG 8, 12, and 13 acceleration actions mainly contributed to WEF sustainability, but maintaining GDP growth and reducing CO2 emissions both presented challenges to sustainability. This study not only enriches the understanding of WEF sustainability from the SDGs perspective, but also provides valuable insights into how sustainable development actions can affect the WEF system.