I have three tables:
Measurements (MeasureID, Time, Distance, Value)
Events(EventID, Time Value)
EventValues
You can use CROSS APPLY.
SELECT
M.*, Data.*
FROM [Measure] M
CROSS APPLY
(SELECT TOP 1 EV.* FROM [Event] E JOIN EventValues EV ON E.EventID = EV.EventID
WHERE M.Time >= E.Time ORDER BY E.Time DESC) AS Data
ORDER BY M.Distance
Try something like this (not tested)
SELECT * FROM
(
SELECT M.*, E.*, EV.EventDataID, EV.Type, EV.Value,
Rank() over (Partition BY M.MeasureID order by M.Time - E.Time) as Rank
FROM [Measure] M
INNER JOIN [Event] E ON M.Time >= E.Time
INNER JOIN EventValues EV ON E.EventID = EV.EventID
) T
WHERE Rank = 1
EDIT
SELECT * FROM
(
SELECT M.*, E.*, EV.EventDataID, EV.Type, EV.Value,
Rank() over (Partition BY M.MeasureID order by M.Time - E.Time) as Rank
FROM [Measure] M
LEFT JOIN [Event] E ON M.Time >= E.Time
LEFT JOIN EventValues EV ON E.EventID = EV.EventID
) T
WHERE Rank = 1