Beyond meeting societal demands through products and services, the contemporary market increasingly requires incorporating environmental and social sustainability criteria. However, it’s unclear whether such criteria lead to economic advantages or constitute a source of competitive advantage. This exploratory study evaluates how socio-environmental sustainability actions undertaken by the Brazilian reference companies Natura & CO, Suzano S.A., Lojas Renner S.A., and Arezzo & CO impact their financial performance. The study analyzes economic indicators and B3 Corporate Sustainability Index (ISE B3) from 2022–2024, along with data from the sustainability reports published by these companies over the past five years. Through comparative analysis and potential correlation mapping, the study found a connection between socio-environmental sustainability initiatives and corporate profitability and laying a foundation for further exploration on leveraging such practices. Key drivers include offering products with sustainability appeal; valorizing waste; optimizing energy matrices and efficiency; reducing greenhouse gas emissions; carbon offsetting; integrating sustainability into the supply chain; issuing green bonds; and effective communication and certification strategies. The findings suggest that socio-environmental sustainability can be considered an auxiliary competitive advantage; however, overall corporate strategy and governance remain essential for sustained profitability. This study is limited by the qualitative analysis of only four Brazilian companies operating in three different sectors, which restricts the generalizability and quantitative expression of the results. Nonetheless, it opens avenues for future research involving broader scopes and more in-depth analyses.