This study examines the dynamic interrelationship and volatility spillover among stainability stock indices (SSIs), international crude oil prices and major stock returns of European oil-importing countries (UK, Germany, France, Italy, Switzerland and The Netherlands) and oil-exporting countries (Norway and Russia). We employ the DCC-MGARCH model and use daily data for the sample period from 28 September 2001 to 10 January 2020. We find that the dynamic interrelationship between SSIs, stock returns of European oil importing/exporting countries and oil markets is different. There is higher correlation between SSIs and oil-importing countries, while oil-exporting countries have higher correlation with the oil market. Notably, the correlation between oil and stock returns became higher during and after the global financial crisis. This study also reveals the existence of significant volatility spillover between sustainability stock returns, international oil prices and the major indices of oil importing/exporting countries. These results have important implications for investors who are seeking to hedge and diversify their assets and for socially responsible investors.