Food, energy, and water (FEW) are three kinds of essential and indispensable resources to human beings. Moreover, they are interlinked with one another, and changing the components of one system may lead to ripple effects (desired or undesired) on the other two systems. Currently, the FEW nexus is increasingly concerned by scholars and policy makers. The FEW nexus is a key concept to address the issues of population boom, resource scarcity, and environmental degradation. However, there still lacks consistent and explicit cognitions of the FEW nexus. Most of existing studies focus on the characterization and quantification of the FEW nexus from multiple perspectives. Little attention is paid to the universal experience in synergy management, especially for urban systems. Cities are critical carriers of the population and economic activities and are also important contributors to the FEW consumption. They are essential for the sustainable development and are thus inextricable parts of the FEW nexus. However, urban FEW nexus has been rarely concerned by existing studies. This study presented a comprehensive review to track the progress of the FEW nexus. We also proposed a three-dimensional conceptual framework of the urban FEW nexus to achieve urban sustainable development goals, including resource interdependency, resource provision, and system integration. Finally, we discussed future directions of urban FEW nexus studies.