Investment professionals, corporate entities and governments are increasingly demanding reliable Environmental, Social and Governance (ESG) data. But apart from the reliability of the relevant ESG data, other critical issues also arise, such as the selection of the most meaningful ESG decision criteria, the determination of their relative importance and the methodological aggregation procedure for the overall ESG evaluation and rating. This paper has two main objectives; first, to address the issues related to inconsistencies of ESG data, and second, to apply a Multiple Criteria Decision Aiding (MCDA) approach for assessing ESG performance at the sovereign level. Initially, we dedicate our efforts to meticulously building and standardizing a database of publicly available ESG metrics specific to each country. Following this, we apply our approach to a sample of 24 countries from the Organization for Economic Cooperation and Development (OECD), focusing on the major challenge of ESG sovereign assessment. In a fully transparent manner, we employ a robust MCDA framework to derive a comprehensive ESG evaluation for these countries. To this end, we employed the MCHP-ELECTRE-SMAA approach. Four distinct scenarios were examined, each reflecting different weight allocations for the considered criteria. The results strongly support the effectiveness of MCDA in evaluating ESG-based sovereign assessments, offering meaningful insights into the underlying decision-making process. Furthermore, from a policy-making perspective, we propose two algorithms designed to identify the minimum required improvements across one or more criteria for a country to match or surpass another.