Fostering sustainability in the construction industry has been claimed; however, important barriers are hindering its implementation in public procurement. The main reason is the lack of knowledge about what sustainability criteria should be included and the high level of subjectivity in the definition of their level of importance. Both aspects should be addressed depending on the specific context of each country. Therefore, the aim of this research focused on identifying the sustainability shortcomings that exist in each European Union country in order to determine the level of importance of each sustainability category. Five environmental categories and eight social categories were established, and, to assess the sustainability performance of the 28 European countries, 42 national indicators were selected and the Promethee method was undertaken to rank the countries. Finally, through a cluster analysis, two groups of countries were identified. The first group consisted of the most economically developed European Union countries. These countries need to focus mainly on the environmental performance. However, the second group needs to make an effort in social sustainability at the same time, which controls their environmental performance. This research provides guidance on the decision-making with regard to the inclusion of sustainability in public procurement of the construction industry.