In the last few years, the water-energy nexus concept has emerged as a global issue in the international research community. However, studies on European countries are relatively few, and often focused on the energy sector and agriculture, even though industry dominates water use in many European countries. Cooling purposes represent the main part of industrial water demand, and waste heat recovery is perceived as a main strategy to improve industrial resource efficiency. In this paper, we consider a real case study of low-temperature waste-heat recovery in an electric steelmaking industry and evaluate the impact of feasible interventions on primary energy and water consumption, as well as on CO2 equivalent emissions. Based on a Europe wide review of energy and water prices, of energy sources and corresponding resource efficiency indicators, a Monte Carlo model was developed to undertake a generalization of the case study to the EU-15. It was found that, in spite of common intuition, solutions with the lowest primary energy demand and the lowest CO2 equivalent emissions demonstrate the greatest water footprint. This is especially the case of southern European countries, where heat recovery projects with the highest water intensity are economically feasible due to high electricity and low water prices. As increasing carbon prices may exacerbate this phenomenon, inducing a switch to more water intensive technologies, policy instruments for supporting industrial energy efficiency or carbon emission reduction should be carefully designed.