Sustainable investment'—includes a variety of asset classes selected while caring for the causes of environmental, social, and governance (ESG). It is an investment strategy that seeks to combine social and environmental benefits with financial returns, thus linking investor's social, ethical, and economic concerns under certain conditions, these indices also help to attract foreign capital, seeking international participation in the local capital markets. The purpose of this paper is to study whether the sustainable investment alternatives offer better financial returns than the conventional indices from both developed and emerging markets. In this paper, we investigate the effect of ESG on Indices' and Firms' performance using Morgan Stanley Capital International (MSCI) Indices as a global reference and Egypt's indices as a national reference. We also study the effect of ESG index on the Egyptian Firms' performance using the Structural Equation Model, to investigate the interrelationships between ESG Index, and Performance simultaneously. The results suggest that, after controlling for firm size and leverage, firms with higher ESG scores experience greater levels of profitability. A number of policy and managerial implications are explored based on these findings. This study adds to our further understanding of the relationship between ESG activities and firm performance in emerging markets.