Finance holds an important place in sustainable development. Sustainable finance issues are taking up more and more space in theoretical and practical research. At the same time, the role and area of research on sustainable finance is still not clearly understood in scientific works. Thus, the theoretical goal of the paper is to justify the importance and timeliness of introducing the concept of sustainable finance in science, including the study of sustainable development. Given the fact that sustainable finance can become a driver for the development of financial markets in emerging countries, we settled on the EAEU countries and the peculiarities of their financial markets' development. The research methodology is based on an analysis of existing approaches to segmentation of the main directions of sustainable finance development and their adaptation to the EAEU conditions. As a result, the main priorities of the EAEU countries in the framework of sustainable development goals were identified. Based on this, there were drawn the conclusions about the role of financial markets of different countries in supporting sustainable development in the EAEU.