This paper presents a rich collection of data used to construct an energy security performance index of the eight countries of the Commonwealth of Independent States (CIS). Namely, the index covers Azerbaijan, Armenia, Belarus, Kazakhstan, Kyrgyz Republic, Russia, Tajikistan, Ukraine, Uzbekistan. The data include results of Z-score normalization of 12 distinct indicators, constituting a total of 4 dimensions of energy security performance. These dimensions are the following: energy availability (oil import dependence, coal import dependence, natural gas import dependence), energy affordability (access to electricity, pump price for gasoline, pump price for diesel fuel), energy and economic efficiency (renewable energy consumption, GDP per unit of energy use, electric power consumption), and environmental stewardship (CO2, N2O, and SO2 emissions). Z-scores are calculated for 2000 and 2014, which allows to evaluate energy security performance of the CIS countries in each dimension and in total over the period of 14 years. © 2019 The Author(s)