The concept of water–energy–land–food nexus highlights the complex and interrelated nature of the relevant resource systems, calling for systemic approaches, enhanced coordination of their interactions, and integration of efforts. Managing agricultural water in the context of nexus is challenging, because the management needs to meet multiple, potentially incommensurable and conflicting goals, such as water security, food security, energy security, environmental protection, economic growth, and social inclusion. This publication focuses on the use of MCDA approaches for the decision problem of agricultural water management in the context of nexus, taking into account relevant literature on MCDA applications in water and agricultural management. The proposed MCDA framework includes an additive value model, which is estimated by using the Multi-Attribute Value/Utility Theory (MAVT/MAUT) approach for the construction of marginal utility functions with the Multicriteria Interactive Intelligence Decision Aiding System (MIIDAS), and the Weights Assessment through Prioritisation (WAP) method for the estimation of the points of view and criteria weights with the WAP software. Preference elicitation and modelling includes strong interaction with an expert decision-maker (DM). Robustness analysis tools are applied to ensure that the final value system is robust and the DM is satisfied with the modelled preferences. The proposed framework is demonstrated in an agricultural river basin from Greece to showcase its relevant merits and identify its weak points. The analysis of the results from the demonstration case leads to the identification of key trade-offs for agricultural water management.