Motivated by the environmentally driven energy transition we live in, the valorization of biomass residues from the agro-industry as renewable energy can play an essential role in GHG emissions mitigation. To overcome the debate on the production and use of solid biofuels (SBF), in this study, we apply an integrated multicriteria tool for the assessment of the sustainability use of agro-industrial residues (AIR) as solid biofuels. Mexico has a vast AIR production, but frequently, the AIR are considered waste biomass. Still, when valorized, SBF do not have adverse effects on soil quality, are not responsible for biodiversity loss, and compete against food production as first-generation SBF. Nevertheless, the AIR present other environmental, social, and economic impacts that have not been adequately evaluated; therefore, we identified the need for a sustainability assessment of energy systems based on the use of SBF–AIR as input fuels. After reviewing previous work on sustainability assessment methodologies, multicriteria decision analysis methods, and indicator weighting methods, we considered it appropriate for this problem to apply a tool that integrates the entropic indicator weighting method into the discrete multicriteria decision analysis method called PROMETHEE. In terms of selected sustainability indicators, this tool was used to assess four electric energy supply systems of a Mexican sugar mill as a case study: current bagasse cogeneration, efficient bagasse cogeneration, a power generation system fueled only with fuel oil, and grid electricity only. Finally, after evaluating the mentioned energy systems with four sustainability indicators: GHG emissions, PM emissions, employments per energy unit (JOBS), and the net present value (NPV) of each alternative, we found the net outranking flow of the efficient bagasse system (EBS). which is the most sustainable system because it has the highest outranking flow value from the four considered alternatives, since it has the lower GHG emissions, reducing the current bagasse GHG emissions by 55% and the PM emissions by 58%. The EBS also shows the highest NPV system due to surplus electricity sales, resulting in the most profitable energy system analyzed.