This contribution investigates how combinations of instruments, often called policy mixes, enhance policy learning processes at different levels. It analyzes the European Union’s (EU) Covenant of Mayors (CoM) that is underpinned by a set of learning instruments, to promote local action for sustainable energy and climate. The piece offers an original framework to explore whether and how the Covenant enhances learning at the level of European institutions and among local governments. Drawing on an extensive documentary review and elite interviews in four countries (Germany, Italy, Poland and the UK), the analysis shows that the CoM instrument mix has enhanced certain elements of learning within the actors leading the Covenant as well as many of the local governments within and outside the EU, but only if certain conditions operate, such as political leadership, individual motivation and knowledge and regional coordination mechanisms.