<p>Environmental, social, and governance (ESG) criteria have gained prominence in financial markets as sustainability indices have expanded worldwide. However, the extent to which ESG sub-dimensions are associated with different financial market indicators remains uncertain, especially in emerging markets marked by macroeconomic instability. Previous studies often rely on composite ESG scores and predominantly linear models, whereas this study examines the association between ESG sub-dimensions and three financial outcomes—stock prices, stock returns, and systematic market risk—for 23 firms listed in the Borsa Istanbul Sustainability Index. By applying nonlinear ensemble learning methods (XGBoost and Random Forest), the study evaluates the relative importance of ESG metrics alongside firm-specific and macroeconomic factors under baseline and crisis-augmented model specifications. The results reveal heterogeneous patterns across financial outcomes. Governance emerges as a key ESG-related variable in the price models, while environmental and governance dimensions are more closely associated with systematic market risk. In contrast, stock return dynamics are more strongly related to macroeconomic factors and episodic shocks, particularly during crisis periods. Overall, the findings suggest that ESG sub-dimensions are more consistently associated with firms’ structural exposure to systematic market risk and valuation indicators than with short-term return fluctuations.</p>