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Sustainable development as a concept that aims to enhance the quality of life without affecting environment has been in focus in European policies since the last decade of 20th century. The objectives of EU Sustainable Development Strategy (EU SDS) are grouped into ten thematic areas, where almost each theme has at least one headline and several operational sustainable development indicators (SDIs). A large number of SDIs is needed to evaluate all EU SDS goals, which imposes the use of multivariate data mining techniques. This paper presents an empirical study carried out to assess the sustainability performance of European countries using the differential multi criteria analysis (DMCA) technique. The PROMETHEE (Preference Ranking Organization MeTHod for Enrichment Evaluations) was applied on 38 headline and operational SDIs defined under the EU SDS. This DMCA was applied to 30 European countries over a 10-year period (2004–2014) with the aim to determine the theme specific, as well as, overall sustainability progress. The DMCA reveals that the majority of European countries have made progress in sustainability in the studied period, where Czech Republic, Germany, Hungary and Sweden, have enhanced their sustainability performance concerning all themes. There are only two countries, namely Greece and Ireland, which have not made overall progress in this period. Also, above the average progress has been made concerning social inclusion, sustainable transport, and climate change and energy, while in all other themes additional efforts should be made in order to ensure sustainable performance progress in future years. Although the progress in reducing uneven development between EU members has been made, after 2009 a positive trend can be observed only in a limited number of SDS themes. [ABSTRACT FROM AUTHOR]