Energy efficiency has been among the key objectives of the energy policy of the European Union and the European Structural and Investment Funds in the 2014–2020 programming period. It is one of the key priorities of the new European Green Deal, which will guide the EU programmes in the next multiannual financial framework. To provide recommendations for national Managing Authorities on how to design energy efficiency measures for enterprises in the 2021–2027 period, the paper assesses the effectiveness and efficiency of a small- and medium-sized enterprises (SME) support scheme in Bulgaria, which has received financing of more than EUR 150 million under the European Regional Development Fund. Combining data from publicly available databases, the paper provides an analysis of geographical and sectoral distributions, the ratio between grant size and energy savings (unit costs), estimations of correlation coefficients and linear regressions, and simple payback time of the EU-financed projects. The key finding of the study is that the scheme under Operational Programme ‘Innovation and Competitiveness’ did not score the input/output ratio of project applications, which resulted in very diverse unit costs, and some of the reviewed projects produced very low energy savings. Overall, the data show that the EU support for energy efficiency measures of large enterprises under the same programme was more coherent and cost-effective as compared to the SME procedure. The paper puts forward recommendations for designing energy efficiency support schemes, which relate to the assessment criteria, the use of internal benchmarking to assess efficiency, and the payback time of energy efficiency measures.