The conservation of natural resources is indispensable for supporting sustainable development. Water–Energy–Food–Ecosystem (WEFE) nexus management is widely acknowledged as the utmost priority of our time. Considering the specificities of the different nexus sectors, conflicting views of sustainability may arise from different stakeholders. This paper presents and analyses an effective stakeholders’ participation strategy aiming at identifying WEFE challenges in the Pinios River Basin (PRB), the most agriculturally productive and natural resource-stressed basin of Greece. The presented methodology was developed in the context of a Learning and Action Alliance (LAA) scheme adopted by the H2020 REXUS project, intended to support resilient nexus system management with the engagement of stakeholders. The proposed comprehensive methodology comprises multiple phases, including “framing”, “mapping”, “involvement”, “co-production”, and “sharing” phases. The involvement phase is the most interactive one, including the organisation and outputs of efficient crowdsourcing theme sessions organised in the framework of the first REXUS PRB stakeholders’ workshop. This paper illustrates and analyses stakeholders’ perceptions regarding nexus status in the PRB and reveals the most critical challenges in the pilot basin, along with their interdependencies and correlations. The determination of nexus challenges insights by stakeholders could significantly contribute to redefining policies so that they align with sustainable development aims. This methodology is proposed to form the baseline strategy in stakeholders’ engagement for future nexus management studies.