Covid-19 pandemic, and its related restrictions, represented an opportunity for e-grocery growth in Italy, leading to a rethinking of the current purchasing and consumption patterns. On particular concern is the last-mile delivery, when food is delivered to the final consumer, representing the most impactive stage of the entire food supply chain. Where many studies focused on economic and environmental externalities produced by the delivery, a much debated and under-analysed question is the working conditions of operators engaged in the food delivery sector. More precisely, this contribution aims at analysing consumers’ perceptions towards the economic, environmental, and social sustainability of the different food delivery options. We used a computer-assisted telephone interviewing (CATI) on a sample of 385 respondents in the Province of Trento (North-East Italy) to explore the e-grocery purchasing behaviour and the preferred delivery options. The results reveal that the socio-economic variables and geographical elements are explanatory of the consumers’ sensitivity towards the sustainability of delivery options, as well as the likelihood of making online food purchases. This work includes suggestions for local policy makers and insights for future work.