The latest generation of heavy-duty vehicles (Euro VI step E) have to respect low emission limits both in the laboratory and on the road. The most challenging pollutants for diesel vehicles are NOx and particles; nevertheless, NH3 and N2O need attention. In this study, we measured regulated and unregulated pollutants of a Euro VI step E Diesel vehicle. Samples were taken downstream of (i) the engine, (ii) the Diesel oxidation catalyst (DOC) and catalyzed Diesel particulate filter (cDPF), and (iii) the selective catalytic reduction (SCR) unit for NOx with an ammonia slip catalyst (ASC). In addition to typical laboratory and real-world cycles, various challenging tests were conducted (urban driving with low payload, high-speed full-load driving, and idling) at 23 °C and 5 °C. The results showed high efficiencies of the DOC, DPF, and SCR under most testing conditions. Cold start cycles resulted in high NOx emissions, while high-temperature cycles resulted in high particle emissions. The main message of this study is that further improvements are necessary, also considering possible reductions in the emission limits in future EU regulations.