The Sustainable Development Goals (SDGs) provide targets for humanity to achieve sustainable development by 2030. A monitoring framework of 248 environmental, social, and economic indicators, reported nationally by 193 UN Member States, tracks progress. The framework includes 92 environmental indicators, most of which refer to environmental policies. The SDG monitoring framework provides data to assess whether, across countries, environmental policies are: 1. Addressing environmental pressures, 2. Linked to environmental improvements, and 3. Linked with societal benefits delivered by healthy environments. We use statistical analysis and a generalized linear modeling approach to test for correlations between SDG indicators related to environmental policies, environmental pressures, the state of the environment, and social impacts delivered by healthy environments. Our results show that environmental policies, particularly protected areas and sustainable forest certification, are linked with environmental improvements, mainly in forest and water ecosystems. However, we find no evidence that environmental improvements are linked with positive social impacts. Finally, environmental pressures, including freshwater withdrawal, domestic material consumption, and tourism, are linked with environmental degradation. Environmental policy responses are generally increasing across countries. Despite this, the state of the environment globally continues to decline. Governments must focus on understanding why environmental policies have not been sufficient to reverse environmental decline, particularly concerning the pressures that continue to degrade the environment. To better track progress towards sustainable development, we recommend that the SDG monitoring framework is supplemented with additional indicators on the state of the environment.