<p>In the context of green development, exploring the impact of the green digital economy on the carbon emission efficiency of the financial industry has significant practical significance and theoretical value. Guided by the principles of green development, this paper constructs an indicator system for evaluating the green digital economy, uses an improved entropy method to compute the weight of the indicators and measure its development level, and utilizes the non-desirable output super-efficiency SBM model to assess the carbon emission efficiency of the financial industry. Based on data from 284 prefecture-level cities from 2011 to 2021, the empirical research is conducted by using a bidirectional fixed effects model, a mediation effect model, and a spatial Durbin model. The results indicate: (1) Overall, the green digital economy exhibits a positive U-shaped effect on the carbon emission efficiency of the financial industry, initially inhibiting and subsequently promoting it, with this effect intensifying as industrial structures are optimized and upgraded. (2) Regionally, there are significant heterogeneities in the impact effects, with the most pronounced effects observed in regions of the eastern and southern areas experiencing rapid development in the green digital economy. (3) Spatially, both the green digital economy and the carbon emission efficiency of the financial industry demonstrate spatial correlation, generating initial inhibiting and subsequent promoting spillover effects on local and neighboring regions. Therefore, some new ideas for promoting the urban green digital economy and enhancing the carbon emission efficiency of the urban financial industry, which can through increasing the support for the green digital economy, establishing a financial industry carbon emission database, promoting the optimization and upgrading of the industrial structure, and improving the spatial layout by strengthening regional collaboration, are provided to promote the sustainable development of the city.</p>