Energy poverty – which has also been recognised via terms such as ‘fuel poverty’ and ‘energy vulnerability’ – occurs when a household experiences inadequate levels of energy services in the home. Measuring energy poverty is challenging, as it is a culturally sensitive and private condition, which is temporally and spatially dynamic. This is compounded by the limited availability of appropriate data and indicators, and lack of consensus on how energy poverty should be conceptualised and measured. Statistical indicators of energy poverty are an important and necessary part of the research and policy landscape. They carry great political weight, and are often used to guide the targeting of energy poverty measures – due to their perceived objectivity – with important consequences for both the indoor and built environment of housing. Focussing on the European Union specifically, this paper critically assesses the available statistical options for monitoring energy poverty, whilst also presenting options for improving existing data. This is examined through the lens of vulnerability thinking, by considering the ways in which policies and institutions, the built fabric and everyday practices shape energy use, alongside the manner in which energy poor households experience and address the issue on a day-to-day basis.