An essential aspect of today’s companies is to convert their knowledge into innovative applications that have a sustainable effect; therefore, this study focuses on determining the relationship between the three mentioned constructs. To verify this, a questionnaire was applied to 492 companies in the tourism sector in southern Sonora, Mexico, whose information was captured in SPSS and analyzed with structural equations in the SmartPLS software. The main findings affirm that knowledge management has a direct, positive, and significant relationship with sustainability and innovation, as well as a positive and direct relationship between innovation and sustainability. Companies can focus on knowledge management that will generate innovation and in turn will be distinguished by achieving sustainability, with a possible generation of competitive advantage, as well as sustainable innovation.