Different sustainability indicators tend to reflect different or even converse outcomes in terms of countries. A careful comparative study is needed to clarify whether these indicators are actually coherent with each other. We analyze and compare five sustainable development indicators. Pearson correlation was used to make a comparative study among them. Within the two groups, the indicators are positively correlated. The Sustainable Development Index (SDI) of the second group also shares a negative correlation with the Human Development Index. On the other side, the Emergy Sustainability Index was negatively correlated with the Environmental Performance Index, and had little or no correlation with the Environmental Sustainability Index. Furthermore, when examining the scores obtained from the different SDIs, the results demonstrate that they might present somewhat conflicting findings, if not considering their complementarity. This, from one side, depends on the fact that Human Development Index (HDI), Environmental Performance Index (EPI), and Environmental Sustainability Index (ESI) provide a short-term local perspective on "sustainability", while the Emergy-based Sustainability Index (EmSI) and Surplus Biocapacity are more long-term and global in their perspective. HDI, EPI, and ESI have a more social and economic focus, including indicators whose dynamics are disjoined from the natural one. The emerging differences might be explained through the analysis of the individual sub-indicators for each of the SDIs.