Introducing cover crops is a form of ecological intensification that can potentially reduce local, regional and global environmental impacts of soybean cropping systems. An assessment of multiple environmental impacts (global warming potential, eutrophication, soil erosion and soil organic carbon variation) was performed on a continuous soybean system in the U.S. upper Midwest. Four sequences were assessed and compared: a soybean cropping system with winter camelina, field pennycress, or winter rye as cover crop, plus a control (sole soybean). Cover crops were interseeded into standing soybean in Year 1, while in Year 2 soybean was relay-cropped into standing camelina or pennycress. Rye was terminated before sowing soybean. When compared with the control, sequences with cover crops showed lower eutrophication potential (4–9% reduction) and soil erosion (5–32% reduction) per ha year−1, in addition to a lower global warming potential (3–8% reduction) when the cover crop was not fertilized. However, when the economic component was included in the assessment, and the results expressed per USD net margin, the sequences with cover crops significantly reduced their performance in all categories of impact considered. A further optimization of field management for camelina and pennycress is recommended to make the cropping system more sustainable.