This research investigates the interplay between sustainable finance, energy policies, and environmental outcomes in OECD countries from 2005 to 2018. Recognising the pivotal role of OECD countries in global sustainability efforts, this study focuses on Australia, Belgium, Denmark, Germany, Japan, Norway, Portugal, Spain, Sweden, and Switzerland. Within this framework, the key independent variables are climate finance, renewable energy, financial inclusion, energy intensity, and economic growth, and the load capacity factor and CO2 emissions are dependent variables. The current analysis was carried out by employing econometric techniques, such as the panel mean group autoregressive distributed lag (PMG‐ARDL) model, the Arellano‐Bond test, random effects modelling, and ordinary least squares (OLS) modelling, due to the panel sample format of the data. The empirical results from the initial model focusing on the load capacity factor indicate that economic growth, energy intensity, financial inclusion, and renewable energy consumption positively contribute to the load capacity factor in OECD countries. Notably, climate finance was observed to diminish the load capacity factor within this model. In the subsequent model, examining CO2 emissions as the dependent variable, the findings reveal that all variables, except renewable energy consumption, exhibit a positive and statistically significant influence on CO2 emissions.