Risk management represents a challenge for organizations, as it includes environmental, social, and governance (ESG) issues that can negatively impact organizations’ investments. This article shows a general approach for prioritizing organizational risks focused on sustainability, which is applied in a particular case. Based on the analysis of global reports such as the “Global Sustainable Development Report”, “Enterprise Risk Management-Integrating with Strategy and Performance”, and the “Global Risk Report”, five typologies of organizational risks with a focus on sustainability (geopolitical, economic, social, technological, and environmental) that support the concern for sustainability in organizations are characterized, taking into account viability and equitability. Additionally, some sub-risks are proposed for each characterized typology of risk. Subsequently, the application of paired surveys assigned to a group of experts formed by executives from the service sector, auditing and consulting firms, the oil and gas sector, the manufacturing sector, and the financial sector is carried out; the responses obtained are consolidated and used in this study as input for the application of DEMATEL and AHP methods to prioritize risks and sub-risks, respectively. The result obtained via the DEMATEL method is the following risk prioritization: (1) economic, (2) geopolitical, (3) social, (4) technological, and (5) environmental. Using the AHP method, the sustainability sub-risks with the highest level of prioritization for each typology of risk are (1) massive data fraud or theft incident (technological risk), (2) deficit in economic growth (economic risk), (3) water depletion (environmental risk), (4) lack of ethics in the conduct of business (geopolitical risk), and (5) chemical safety (social risk). The sensitivity analysis presents positive and negative values, indicating that the positive results do not generate substantial changes between the characterized sub-risks. On the other hand, the negative results indicate a notable decrease in the relative importance of the sub-risks. It is crucial to highlight that the observed variations remain within realistic limits and reflect the uncertainty inherent in decision-making in a dynamic environment.