As future leaders, millennials are invariably expected to adopt sustainable behavior (SB) and contribute to achieving the 2030 sustainable development goals. The bulk of existing research on SB and young people have applied a west-centric lens that are not adequately comparative in nature. By adopting the dual approaches of quantitative study and planned behavior theory, this study therefore intended to compare two Asian countries’ Malaysia and China–millennials’ input on SB and to examine the moderating role of social media usage with regards to such behavior. An online questionnaire was administered to 419 respondents from Malaysia and 416 respondents from China. The data were analyzed using the partial least squares structural equation modelling (PLS-SEM). PLS-SEM results indicated that the direct effects between the variables, which included the impact of sustainable knowledge and interpersonal influence on attitude toward sustainability (ATS); the impact of ATS on sustainable intention (SI); and the impact of SI on SB in both models (Malaysia and China) were found to be significant with only a slight difference in the path coefficients between the two models. Interestingly, PLS-SEM results also discovered no moderating effect of social media usage in both Malaysia and China. The result of the study is helpful for policymakers in both countries to use as reference when focusing on vital elements, such as sustainability knowledge to promote SB among their respective millennials.