The former Norwegian Prime Minister was addressing a meeting of Parliament's security and defence subcommittee on Wednesday.
The meeting comes ahead of a key Nato summit in Brussels later this month, which US President Donald Trump will attend.
Stoltenberg told the meeting, "A lot of progress has been made since I was last in Parliament, including signing off on 42 concrete measures on how to strengthen EU/Nato cooperation, for instance, on cyber defence.
"The good thing is that these are being implemented and we are really making progress. We have lifted EU-Nato cooperation to a new level."
On the Nato meeting on 25 May, Stoltenberg said, "This will be a short but very important meeting because it will be the first time Donald Trump has come to Nato - and also Europe - as US President and it will also be the first meeting with the new French President.
He said, "This meeting will send a strong message about the transatlantic resolve. It will address burden sharing and the fight against terrorism."
On terror, he said, "This is, of course, still a real threat as we have seen attacks in our capitals here in Europe. We have to fight back in many different ways and will need a combination of political, military and economic measures.
"Nato is playing a key role in fight against terrorism. If there is one lesson we have learnt it is that in the long run it is better to train local forces to fight terrorism themselves rather than Nato deploying big operations."
Stoltenberg said that the other main issue at the Nato meeting with President Trump this month will be burden sharing.
He told the committee, "You will recall that Nato decided in Wales in 2014 to stop the cuts in defence spending and to spend two per cent of GDP within a decade. The good news is that we have now turned the corner. After many years of decline in defence spending, in 2015 we saw a small increase in defence spending."
He went on, "In 2016, there was a significant increase in spending - up 3.8 per cent in real terms or $10bn. We still have a long way to go but we are moving in the right direction and I welcome that very much."
Stoltenberg said that burden sharing was not just about spending but also about defence capabilities, adding, "We need more and modern capabilities in order to prevent conflicts and all of this will be addressed at the Nato meeting."
He said, "Stronger European defence is something I welcome. It is good for Europe and also good for Nato but only as long as we ensure that what the EU does is complementary to Nato and does not compete with Nato.
"This should not be about creating new command structures that duplicate Nato or establishing a European army.
"It would be meaningless to have the two, the EU and Nato, competing with each other."
He concluded, "What I can tell you is that Nato is adapting and responding to a more dangerous security climate."
David McAllister, Chairman of Parliament's foreign affairs committee, said, "We all agree that Nato and the EU need to work together intensively. Both share the same threats and challenges. The arc of instability that I have spoken about in the past has only got worse."
The German MEP added, "Islamic State might be losing ground in its own territory but we still face the dreadful consequences here in Europe."
ECR group deputy Charles Tannock said, "Both the EU and Nato face a common threat and I am relieved that Donald Trump no longer feels Nato is obsolete, but concerned that he feels ready to talk with the leader of North Korea.
"I am proud that the UK together with Greece and Estonia are the Nato members that have now surpassed the two per cent spending target. I hope other Nato members can follow suit."