The share of natural gas as an efficient resource in the deficient Baltic primary energy balance is and will be significant (power generation, district heating, households, industry, etc.). Therefore, in the paper the risk of gas supply is evaluated and appropriate actions are recommended to assure reliable availability of affordable and sustainable energy in the Baltic States. Macro-region’s base (including supply and transit countries), risk and cost assessments, timely introduction of non-market measures, high cyber security level of information processing and management systems are the components of the security strategy. The extension of Incukalns UGS, interlinked pan-Baltic LNG receiving terminal and upgrade of cross-border trunk pipelines are recommended as the most efficient tools. Complex realization of all instruments and solidarity of the countries are the key issues to implement proposed strategy.