Since the twenty-first century, the severity of the climate and environmental issues has continued to climb; how to achieve harmony between man and nature has become an unavoidable issue in the post-industrial era; in order to scientifically assess the sustainable development potential of enterprises, relevant departments and organizations have jointly constructed an ESG evaluation system, making it a hot spot of market concern. The research on ESG and corporate investment efficiency is still insufficient and mostly focuses on the impact of single ESG factors. Based on this, this paper innovatively starts from the global ESG perspective. It takes the data of China’s A-share listed companies from 2018 to 2022 as the research object, aiming at deeply exploring the actual impact of ESG performance on investment efficiency. At the same time, this paper analyzes the difference of this effect under the variables of corporate nature, industry characteristics, and market attention. The study results show that ESG performance significantly optimizes firms’ investment efficiency, and the inhibition effect on overinvestment is particularly significant. With the deepening of the research, it can be found that the positive impact of ESG performance on investment efficiency in the more heavily polluted industries is smaller than that of lightly polluted enterprises. This paper provides recommendations for government departments, third-party ESG rating agencies, and relevant enterprises based on the above research results. These recommendations are expected to promote the improvement of the ESG rating system, improve investment efficiency, and help the administration establish a more comprehensive ESG ecosystem.