This paper presents knowledge gaps and critiques on the water–energy–food (WEF) nexus that have emerged since the concept of the WEF nexus was proposed by the World Economic Forum and the Bonn 2011 Conference. Furthermore, this study analyses current innovations on the WEF nexus concept, applications, and impacts during the period of 2012–2020. This begins by reviewing ten WEF nexus frameworks developed by international organizations and researchers. On this basis, several gaps and omissions in nexus frameworks are obvious in almost all developed frameworks. Studies that start to address some of these gaps are analysed, but they are relatively few and do not address all gaps. Several proposed improvements to nexus frameworks are identified to narrow the gaps and put the concept into practical implementation in WEF resources management and governance. Four principles and the perspective of “from local to global” for future WEF nexus framework development and analysis are suggested to ensure that the security of water, energy, and food resources can be achieved sustainably in local communities. This will improve the impact of national and global ambitions on WEF security.