Energy policy has a significant impact on the state of the environment and, therefore, on residents’ health and life expectancy, especially in highly urbanized areas. Reducing emissions is currently one of the necessary actions that must be taken at the scale of individual countries to ensure sustainable development. The article aims to identify the best ways to shape energy policy by evaluating development scenarios for air protection and their environmental impact. The realization of the goal is based on the data included in three groups: (1) Economic factors, Health factors, and Demographic factors; (2) Clima-e related economic losses, Renewable Energy sources in electricity, heating, and cooling, Premature deaths due to exposure to fine particulate matter (PM2.5), Health impacts of air pollution, Population change; (3) Demographic balance and crude rates at the national level, GDP per capita in purchasing power PPS, GDP, and principal components; covering 36 EU countries in 2019 and 2021. The study proposes an advanced methodology for assessing development strategies by integrating the Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) and Bayesian networks (BN) and incorporating them into a multicriteria decision-making (MCDM) support system. The TOPSIS model based on BN allowed for the illustration of the features of many criteria and the identification of relationships between scenarios, allowing for selecting the best way to develop energy policy. The results showed a 60.39% chance of achieving success in extending the life of residents by five years. At the same time, the most favorable development path was the scenario promoting activities aimed at reducing air pollution by introducing renewable energy sources to produce energy used for lighting and preparing domestic hot water urban areas. By presenting possible scenarios and the probability of success, it is possible to achieve the goal of practical energy policy at the level of the country and individual European cities and also by extending the life of city inhabitants, as presented by the authors in this study.