This article examines the European Union’s (EU) unsuccessful effort to develop a common strategy toward the South Caucasus and argues that the process nevertheless played a significant role in the evolution of the EU’s Common Foreign and Security Policy (CFSP) and emerging debates on a common strategy toward Russia. Drawing on declassified archival materials from the European Commission, Council, OSCE, Finnish Foreign Ministry, and Parliament, it analyses the 1995 Commission Communication ‘Towards a European Union Strategy for Relations with the Transcaucasian Republics’ and the debates it generated within EU institutions. Contributing to scholarship on small(er)-state influence in the EU, this article highlights Finland’s role in placing the South Caucasus on the EU agenda as part of a broader effort to encourage the Union to ‘think Russia’. Finnish diplomats leveraged their leadership within the Organization for Security and Co-operation in Europe (OSCE) Minsk Group, responsible for mediating the Nagorno-Karabakh conflict between Armenia and Azerbaijan, to shape CFSP and a strategic EU approach to the post-Soviet space. Although a common EU strategy for the South Caucasus never materialized, the debates it generated exposed the need for a coherent policy toward Russia, developing Finland’s foreign policy expertise within the EU in the process.