Since the European Council’s first request for a European Union Strategy for the Baltic Sea Region (EUSBSR) and the preparatory work undertaken by the Commission for its adoption in 2009, the macro-regional approach “to go from words to actions” has attracted much interest and was rapidly extended to other regions of the Union. The objectives are always to address common challenges more efficiently and better benefit from shared and complementary potentialities where previous attempts at solving common problems and enhancing synergies have not met needs and expectations. The ambition is to obtain results without additional legislation, structures and funds (the three “No principles of the macro-regional approach). This paper discusses the weaknesses and bottlenecks to be addressed in relation to (i) the true character of the macro-regional approach, as well as its (ii) strategic dimension, (iii) coordination, (iv) governance and (v) resource needs. It also presents the author’s opinion and proposals for more direct involvement of sectorial ministries and executive agencies in the policy making and implementation support of cooperation activities. Only the full embedment of the macro-regional strategies into the national and regional institutional governing and delivery systems will enable the achievement of macro-regional objectives. Revisions of the Action Plans can provide opportunities for the necessary adaptations, and the implementation of more complementary and coordinated actions/projects should support further development of cooperation activities. Having existed the longest, the EUSBSR case is used to analyse the difficulties encountered and to propose solutions based on the lessons learnt.