Making decisions on major investments, including investments in security research, requires good grasp of the future, which by definition is uncertain. This paper presents the analytical process, methods, and tools, including the DSTO Scenario Analysis Tool Suite, used in the elaboration and selection of a set of context scenarios and possible new roles for EU as a global actor based on the wider Petersberg tasks. Results of this exploratory process within the FP7 FOCUS project are intended to derive suggestions for the EU’s security research planning. The conclusion emphasises the critical importance of providing rigorous analytical support, in particular when security foresight involves subject matter experts that are not part of a dedicated research team.