Protecting critical infrastructures (CIs) against external and internal risks in an increasingly uncertain environment is a major challenge. In this paper we present a generic multi-stage scenario construction approach that is applicable to a wide range of decision problems in the field of CI protection. Our approach combines scenario construction and decision support, whereby we explicitly consider the performance of decision options which have been determined for a set of initial scenarios. Because of the iterative character of our approach, consequences of decision options and information updates are evolutionary processed towards advanced scenarios. By disturbing vulnerable or critical parts of CIs, cascading effects between interrelated CIs and the responses to the decision options can be determined. We apply this scenario-construction technique to two civil security research projects. One focuses on protecting food supply chains against disruptions, whereas the other aims at securing public railway transport against terrorist attacks.