The Caspian region for centuries was the arena of geopolitical rivalry for Russia, Turkey, Iran, Britain and France to establish control and influence in the area. The emergence of independent states in Central Asia followed by disintegration of the USSR, has brought new reality in terms of politics and economy in the region and created opportunities for western energy companies to access sources of energy alternative to Gulf countries. Currently, the “new great game” in Central Asia – competition for strategic influence and take control over transportation routes for oil and natural gas an from the Caspian Basin, is focusing regional and global interests of great powers, both in terms of security and economic aspects related with prospects of energy resources exploration. Among the EU -27 member states, there is a serious split in the approach to energy security issue, dictated by interests diversity. Shaping a common EU energy policy requires the full commitment of the European Commission and EU Member States. The creation of a coherent EU energy policy towards the Caspian region means to define a common energy interests of member states. But this depends on political willingness to overcome particularistic interests of the largest states when they are in collision with strategic goals of the Community.