Approaches that integrate feedback between climate, land, energy and water (CLEW) have progressed significantly in scope and complexity. The so-called nexus approaches have shown their usefulness in assessing strategies to achieve the Sustainable Development Goals in the contexts of increasing demands, resource scarcity, and climate change. However, most nexus analyses omit some important inter-linkages that could actually be addressed. The omissions often stem from technical and practical considerations, but also from limited dissemination of new open-source frameworks incorporating recent advances. We review and present a set of models that can meet the needs of decision makers for analysis tools capable of addressing a broad range of nexus questions. Particular attention is given to model accessibility, usability and community support. The other objective of this review is to discuss research gaps, and critical needs and opportunities for further model development from a scientific viewpoint. We explore at different scales where and why some nexus interactions are most relevant. We find that both very small scale and global models tend to neglect some CLEW interactions, but for different reasons. The former rarely include climate impacts, which are often marginal at the local level, while the latter mostly lack some aspects because of the complexity of large full CLEW systems at the global level.