In recent years, more and more studies have been executed regarding the ESG performance of companies and how it affects the companies themselves. In this study, an indicator that measures the ESG risk of companies is examined. Two crucial sectors of economy, namely energy and construction, are chosen. Both of them are considered critical in both economy and environment terms. The dataset consists of key financial data of 44 companies, which data extracted from annual reports. Moreover, an ESG indicator, that splits the companies in two groups (low and high risk), was added. This study has two directions. The first to compare the companies that had low-risk ESG and those that had high-risk ESG and examine the fluctuation of financial indicators over the period 2018–2022. The second to attempt an econometric approach in order to examine the relationships between the ESG risk score and firms’ financial data. The results from the survey showed us that in both sectors, companies with low-risk scores had much higher net profits than those with high-risk scores. In the econometric test, due to multicollinearity, we had non-significant results.