The present study investigates the decision-making process of investors on the Pakistan Stock Exchange with regard to portfolio construction, explicitly focusing on the incorporation of ESG concerns. A quantitative research approach has been implemented for this paper. The hypotheses have been developed and tested through the adapted questionnaires. The data were collected from individual Pakistani investors. The present study employed SmartPLS-SEM to quantitatively assess data received from a sample of 421 out of 500 respondents. Based on the available data, investors participating in the Pakistan Stock Exchange are notably impacted by ESG aspects. The findings of this study hold significance for emerging economy firms, regulators, and investors, in terms of both theoretical and practical ramifications. The study’s findings demonstrate a clear indication of investors’ significant emphasis on ESG matters. This research made a significant contribution to the field of behavioural finance with a focus on ESG-related issues. This work contributes to the literature on ESG elements by using the Theory of Planned Behaviour (TPB) to adapt the ESG components from the United Nations Global Compact (UNGC) and Thomson Reuters Corporate Responsibility Index (TRCRI). Furthermore, it provides valuable insights for stakeholders who are involved in the ever-evolving realm of sustainable finance within developing countries.