The Paris Agreement, the Sustainable Development Goals, the Sendai Framework and the New Urban Agenda share a vision of global sustainable development, with several overlapping goals and targets. However, these agendas are often treated along sectoral boundaries leading to highly branched implementation. Underusing potential synergies is not only a burden for governments due to the costs of redundancies and inefficiency but can also hinder collective goals and lead to inter-agenda trade-offs. Despite growing attention on policy coherence in research and policy, existing literature fails to explain why it is so hard to achieve despite widespread recognition of its theoretical value. Based on a literature review and fieldwork in Mexico, our research focuses on the perception of the people in charge of operationalizing the agendas. We develop a typology of non-monetary costs and benefits that encompasses the alternative scenarios of 1) increased coherence in the implementation of the agendas in Mexico and 2) a business-as-usual scenario. Results challenge the dominant approach that focuses on binary policy coherence/incoherence analysis, by identifying also perceived benefits of incoherence and costs of building coherence. They also highlight the importance of often overlooked barriers to cross-sectoral and cross-scalar collaboration driven by institutional arrangements and work culture. The resulting typology differentiates drivers and manifestations of (in)coherence from their impacts on institutions and society. From this, we derive that a scenario of increased coherence in the implementation of the Post-2015 Agenda represents net gains to society and only relative losses to institutions, once the current costs of incoherence are discounted. However, the process of building policy coherence is beyond easy fixes, requiring structural change. Otherwise, institutions risk falling into a cosmetic level of coherence that is both costly and ineffective.