Water, energy, food, and ecology play significant roles in poverty reduction, human well-being, and regional sustainable development. With the increasing demand for energy and food, environmental degradation, and increasing pressure on regional finite water resources, water-energy-food-ecology (WEFE) systems have been facing serious challenges in Central Asia. To address these challenges, it is necessary to understand and manage the WEFE nexus; thus, we explore the relationship between cross-sectoral pressures in this study. Based on the projection pursuit model and the virtual water trade concept, we comprehensively assess the WEFE system pressure and reveal the transmission of pressure. Finally, we develop a coordination mechanism to achieve the sustainable development of WEFE systems. The main results are as follows: (1) During 1992–2014, the comprehensive pressure level of the WEFE system showed a slightly upward trend, but there were significant differences between countries; (2) the pressures of cross-sectors are not only closely related but also transmittable. Unreasonable sectoral structure (crop planting, power generation and food import and export), spatial mismatch of resources and virtual water trade (especially for food trade) are important reasons for the pressure transfer within and across countries. And, (3) the proposed coordination mechanism optimizes the system structure, makes trade-offs and synergies for the interests of the sectors, and is more targeted. The integration of policies and regions is key to ensuring the smooth operation of the mechanism. This research can serve as a reference to achieve the coordinated development of WEFE systems in Central Asia.