The paper gives an overview of the consequences and effects of EU sanctions against Russia for the Baltic states. The reasons of active sanctions support by the Baltic states political elites are analyzed. Special attention is paid to the problems of small states behavior, including theoretical patterns of political action of small states. The author comes to a conclusion that political elites in the Baltic states aim at internationalizing risks and costs making it one of the international policy’s priority. The role of EU funds in financing the Baltic states economies is emphasized as one of the factors influencing their foreign policy and political and economic prospects with the back-up of sanctions policy.