The article presents the practice of Capacity Building project (CBP) activities underlining the sustainable development importance in the context of Cross Border Cooperation, which was implemented in Denmark, Germany, Poland, Sweden and Lithuania. The article is based on the analysis of statistical data and South Baltic Program documents adopted by the European Commission. The knowledge and experience of CBP formulated in this paper could be useful for future capacity building initiatives in the South Baltic region or in other territorial cooperation programmes. Article authors were official representatives of this project in Lithuania Region and actively participated during the Capacity Building project activities implementation process, took responsibilities during the interview and questionnaire givens collecting in Lithuania, were mentoring the Rent-of-Expert process and made individual consultations, organized trainings and workshops.