The Three Horizons for the Sustainable Development Goals (SDGs) is a novel participatory approach to co-create future sustainable scenarios for supporting the implementation of the United Nations 2030 Agenda. Whereas the approach has been applied to inform the design of global-scale sustainability scenarios based on regional perspectives, it has not been implemented to explore how local and regional scenarios can be connected across sites and scales to inform governance processes in the implementation of the SDGs. This study applies an adapted version of the Three Horizons for the SDGs approach in four sites at regional and local scales in Spanish drylands to explore its potential to support policy coherence at multiple governance scales for advancing SDG implementation through dialogue between actors from multiple sectors. We conducted four two-day in-person workshops with diverse actors (n = 59) to explore their perceptions about the desired futures, current concerns, and strategies to achieve sustainable futures in the region. Results reveal 27 similar and nine dissimilar themes related to desired futures and current concerns, respectively. These findings provide common ground and highlight different contextual realities between sites that may serve as a basis for harmonizing policy priorities for advancing regional and local SDG implementation. The study also identifies 19 themes encompassing multiple strategies with the potential to establish associations across sites and scales to coordinate actions in alignment with the 2030 Agenda. We argue that the adapted version of the Three Horizons for the SDGs approach can serve as a tool to support coherent multi-scale governance needed to achieve global sustainability goals. We discuss lessons learned and limitations encountered from using the approach that provides guidance for future experiences.