Achieving the Sustainable Development Goals (SDGs) constitutes a global commitment that necessitates the development of innovative strategies to integrate research, policy, and practice effectively. In the European Union (EU), multi-stakeholder engagement has become a vital strategy for tackling complex climate and energy research challenges. This approach is crucial to establishing research priorities that effectively address SDGs 7 and 13. Despite its recognized importance, the existing literature offers no comprehensive overview and guidance on effective multi-stakeholder engagement in EU-funded climate and energy research. This study shows that a scoping review, combined with stakeholder co-design workshops, can reveal key gaps and inform guidelines for robust multi-stakeholder engagement. A systematic review of 23 published articles using criteria drawn from the broader stakeholder engagement literature found that engagement terminology is rarely defined and often used interchangeably, indicating a gap between the literature and its real-world application. This study also provides guidelines for conducting effective stakeholder engagement, drawing upon the broader stakeholder engagement literature, the outcomes of the scoping review, and lessons learned during the European Climate and Energy Modelling forum project. Three co-design workshops engaging 85 stakeholders conducted in 2021 and 2022 uncovered 83 research priorities centred on policy, regulation, and using energy and climate models to inform policymaking. These research priorities are provided as an open data set. The findings of the study underscore the need for standardized engagement practices to enhance the impact of EU-funded climate and energy research and guide future policy and research initiatives.