Facing environmental challenges, China introduced a pilot policy: Exit accountability audit of natural resources for leading cadres, aiming to press local officials to focus on environmental performance. This study analyzes its impact on corporate equity financing costs using 2011–2018 data from Chinese listed firms. Results show that, following the policy implementation, firms in pilot regions experienced a significant decrease in equity financing costs, attributed to close government-firm relationships and corporate ESG improvements. The policy notably affected state-owned firms, non-heavy-polluting industries, and firms in large-scale cities. The findings offer insights for formulating and implementing environmental regulations and firm’s environmentally-focused decision-making.