This research is dedicated to exploring the role of the banking sector in the implementation of the concept of sustainable development. A thourough review of contemporary practices among Russian banks in climate risk management suggests that, unlike in other countries, Russian banks are more actively integrating ESG principles into their operations than companies in the real sector. However, the role of the banking system in combating climate change remains underestimated, while its potential functions and implementation methods are still underexplored. The authors view banks as a key intermediary between regulators and real-sector companies, highlighting their dual role in managing climate risks. The banking system’s contribution to sustainable development can be significantly broader, encompassing a dedicated climate risk management strategy, internal policies, loan portfolio composition, client and partner engagement, public initiatives, and disclosure policies. This expanded approach will allow the banking system to leave a meaningful footprint in the fight against climate change.