This though, she readily admits, could only happen in the event of an independent Scotland.
Speaking on Sunday, Sturgeon said, "My position is I want Scotland to be in the EU. Now we have to set out if we're in an independence referendum, and we're not in that right now, the process for regaining or retaining depending where we are in the Brexit process, EU membership," adding, "Now it may be that we have a phased approach to that by necessity."
On whether this would initially require Scotland to join EFTA, she said, "It may be by necessity but we don't want that. We have to set that out at the time because there are still some uncertainties, many uncertainties, around the Brexit process."
EFTA is an intergovernmental organisation set up for the promotion of free trade and economic integration to the benefit of its four member states - Iceland, Liechtenstein, Norway and Switzerland.
Founded by the Stockholm Convention in 1960, the immediate aim of the association was to provide a framework for the liberalisation of trade in goods among its member states. At the same time, EFTA was established as an economic counterbalance to the more politically driven European Economic Community (EEC).
EFTA has actively pursued trade relations with third countries in and beyond Europe
Meanwhile, speaking separately, UK foreign minister Boris Johnson said, "The EU is going to try to bleed this country white with its exit bill.”
He added, "The logic behind this bill is preposterous. We could definitely walk away."
While the European Commission has not announced a definitive sum for the bill, estimates are as high as €100bn. Johnson also claimed there were very good arguments for the UK to receive payments from the EU upon its withdrawal, saying, "We have paid for over the years and there will need to be a proper computation of the value of those assets."
Elsewhere, there has been a sharp rise in the number of Britons applying for German nationality after last year's Brexit vote.
According to an investigation by the Local, there has been a more than fivefold rise in applications made in major metropolitan areas. With no deal in place guaranteeing the rights of Britons living in the EU after the UK leaves the EU, the move reflects growing anxiety among the expat population.
It is estimated that 100,000 Britons live in Germany.
In Hamburg, for example, 280 applications were made last year - compared with 52 in 2015. More than 200 were submitted after the Brexit vote.
Darmstadt's regional government, which has Frankfurt and Wiesbaden within its borders, received 521 applications in 2016 following the Brexit vote - five times more than the total for the previous year.
It was a similar story in the southwest state of Baden-Württemberg, with 386 applications last year and 68 in 2015.
Figures for the whole of Germany have still to be released. Earlier this year Ireland said there had been a 40 per cent rise in nationality applications from Brits.
Other EU countries also reported a sharp rise in applications and inquiries including Poland, where anybody with one Polish parent is entitled to apply for a passport.