The events in Crimea and eastern Ukraine that took place due to the competition between Russia and the EU over possibilities for close cooperation have reinforced the perception of Russia as a key stakeholder in geopolitical upheavals in the post-Soviet sphere. It also served as a reminder that any settlement to political and territorial conflicts within the post-Soviet sphere would have to include Russia. While all other countries in the Eastern Partnership have since associated themselves with either the EU or Russia, Azerbaijan chooses to remain outside such formal obligations. The EU and Russia both have particular interests in Azerbaijan. Russia’s interests in Baku lie primarily in it not becoming an alternative to Russia’s energy market and remaining within its sphere of influence. The EU, in turn, wants closer ties with Baku since it considers it an alternative energy market to the unreliable Russia. Considering these competing interests of two different actors, this paper is an attempt to chart Baku’s course of action in managing to pursue the ‘multi-vector’ approach. It manages to pursue this approach by playing off the diverging interests of the EU and Russia and bargaining between them.