Under the background of the “dual-carbon” strategy, China vigorously promotes the concept that “Lucid waters and lush mountains are as good as mountains of gold and silver.” It actively advocates the ESG principles. ESG performance provides non-financial information to stakeholders from three dimensions: environment, social responsibility, and corporate governance. Therefore, studying the influence of ESG performance on corporate financial risks is of great significance. This article takes Chinese A-share listed companies from 2014 to 2022 as samples to empirically analyze how ESG performance affects corporate financial risks. The results show that good ESG performance can reduce the financial risk of enterprises, which is still valid after a series of robustness tests. Furthermore, ESG performance reduces corporate financial risks through the pathway of lowering debt financing costs. The research results of this article will help companies and stakeholders better assess the impact of ESG performance on corporate financial risks. Additionally, it provides empirical evidence to improve the quality of ESG information disclosure and promote corporate ESG performance in China.