The great concern regarding food loss (FL) has been studied previously, but in an isolated way, disregarding interdependencies with other areas. This paper aims to go a step further by proposing a new procedure to assess different waste management alternatives based on the nexus approach by means of an integrated Water-Energy-Food-Climate Nexus Index (WEFCNI). The environmental profile of the waste management techniques is determined using Life Cycle Assessment (LCA) which, in combination with Linear Programming (LP), explores the optimal aggregation of weighting factors that lead to an aggregated nexus index. The management of residues from the anchovy canning industry in Cantabria (Spain) has been used as a case study, considering the three current applied alternatives: (i) valorisation of FL as animal feed in aquaculture (food waste-to-food approach), (ii) incineration of FL with energy recovery, and (iii) landfilling with biogas recovery. The last two considered the use of energy recovered to produce a new aquaculture product (food waste-to-energy-to-food scenarios). The results indicate that incineration is the best performing scenario when the nutritional energy provided by the valorisation alternative is not high enough and the valorisation technology presents the highest water consumption. Therefore, a minimisation in the consumption of natural resources is suggested in order to improve the application of circular economy within the sector. The use of the nexus index as an environmental management tool is extendable to any food system with the aim of facilitating the decision-making process in the development of more sustainable products.