Energy security has become a buzzword in EU politics, topping the agenda of politicians, policy-makers and researchers. The purpose of this paper is to study the EU energy security strategy towards the Caspian Sea region. Growing dependence on Russian gas imports has become a major concern among EU Institutes and most EU Member States, especially after the 2006 gas dispute between Russia and Ukraine. Towards this end, Brussels has been introducing a multi-faceted strategy which aims at mitigating Russian gas supply risks. In this context, the Caspian Sea region can play a pivotal role, offering alternative energy supply sources that bypass Russia. Chronic inefficiencies in the EU policy-making mechanism and diplomacy however hamper Brussels from establishing a realistic and effective energy security policy that will meet the current challenges vis-à-vis an evolving concept of energy security.