The global interest in nearly zero-energy buildings (NZEBs) has led to their establishment as mandatory building objectives in Europe for all new constructions starting in 2021. The principles outlined in the Energy Performance of Building Directive (EPBD) emphasize the significance of reducing energy demand through various energy efficiency measures to achieve NZEB status. Among these measures, the utilization of high-performance glazing systems plays a crucial role in ensuring natural light, ventilation, favorable solar gain, aesthetics, and positive psychological effects in buildings, while maintaining high energy performance and thermal comfort without burdening the budget or harming the environment. The use of increasingly larger glazing areas makes this topic of great relevance. Nevertheless, numerous studies frequently overlook certain crucial aspects of glazing systems in their assessments. This review study aims to assess different glazing solutions based on four critical perspectives called “EThCE”: Energy performance, thermal comfort, cost-effectiveness, and environmental impact, considering their interrelationships. Furthermore, the importance of adopting a comprehensive approach for selecting the optimal glazing solution for NZEBs is discussed. Additionally, the relationship between glazing systems and climate change is taken into account. Ultimately, the authors propose a comprehensive approach, including all the influential factors, to assist designers and homeowners in making informed decisions regarding glazing system selection for new NZEBs or NZEB retrofits in different situations.