Studies have shown that monitoring the progress towards Sustainable Development Goals (SDGs) provides a basis for evaluation of efforts in sustainable development and formulation of policy recommendations. The Belt and Road Initiative (BRI) may have profound implications for the sustainable development of the involved countries. However, the performance of these countries with respect to the social, economic, and environmental dimensions of SDGs is yet to be explored. In this paper, we addressed this gap by analysing the progress towards SDGs during 2000–2019 on both the BRI and national scales by accounting for the social, economic, and environmental SDGs. We found that the BRI SDG index (SDGI), calculated by summing up the results from the three dimensions, increased from 43.5 in 2000 to 60.2 in 2019. Meanwhile, more than 90% of the BRI nations were at least halfway towards reaching the best performance of SDGs as of 2019. Of the 65 BRI nations, European countries generally performed better, while Central and West Asian countries performed relatively poorly according to the SDGI. Overall, the BRI showed high, medium, and low scores in achieving the economic, social, and environmental SDGs, respectively. In addition, the three dimensions have shown significant synergistic relationships over the past 20 years, although the synergies are weakening. Our research described the progress of BRI towards the SDGs, revealing that more attention should be paid to the environmental dimension, particularly to SDG 15 (life on land), as it received the lowest score and had the steepest downward trend of all SDGs. Considering the spatial heterogeneity among the BRI nations, we proposed a geospatial division and management plan as a potential measure to achieve SDGs.