It is impossible to know for certain if EU sanctions (or those imposed by any other nation or group of nations) truly work. In order to know whether sanctions worked, we would first have to know what the target of the sanctions would have done had sanctions not been applied. For example, the EU placed sanctions on Russia after Russia took the Crimea away from Ukraine. In order to judge whether these sanctions worked, we would have to know what Russia would have done next if there had been no sanctions. Would it have invaded Ukraine? Would it have given clear support to pro-Russian separatists in Ukraine? Would it have acted covertly to help those separatists? This is not something that we can know for certain.
Even if we could know what Russia would have done next, and even if Russia did not take that action, we would not be sure if the EU sanctions caused Russia to refrain from acting. We would have to make sure that there were not any other factors that could have moderated Russia’s actions. For example, might the drop in the price of oil have restrained Russia? Might Russia have been afraid, not of the sanctions, but of military action by the EU, NATO, or the US?
Finally, we would have to ask what constitutes “working.” If Russia does not withdraw from the Crimea after the sanctions are imposed, does that mean they did not work? If the sanctions caused Russia to support separatists covertly instead of overtly, did the sanctions work? It is very hard to define what “working” means and different people can define it differently.
My own view is that sanctions clearly do not achieve major goals. They do not, for example, cause Russia to withdraw from the Crimea or Iran to stop developing atomic capabilities. However, I would argue that sanctions have some effect. They show their targets that the world disapproves of their actions and is willing to take at least some concrete steps to oppose them. This presumably has some effect on the actions of the target nation.
I would argue that sanctions work in some instances, but it is impossible to prove this assertion. If we actually knew whether sanctions work, there would be much less disagreement over whether to use them in various situations.