To achieve the “Dual Carbon” goals and advance energy consumption control, China introduced the Energy-Consuming Rights Trading (ECRT) system as a market-based environmental governance mechanism following its carbon emissions trading policy. While existing studies predominantly focus on theoretical or ex-ante analyses, this research employs a Propensity Score Matching–Difference in Differences (PSM-DID) model with panel data from 1,973 A-share listed firms (2013–2023). Using Tobin’s Q as a proxy for financial performance and green innovation as the mediator, the study controls for firm fundamentals (capital structure, solvency, growth capacity, operational efficiency, and technological level) to conduct an ex-post evaluation of ECRT’s impact. Results indicate: (1) ECRT significantly enhances corporate financial performance, with effects intensifying annually, urging firms to actively participate in market development. (2) ECRT indirectly suppresses financial performance by reducing green innovation, partially offsetting its direct positive effect; this masking effect diminishes when green innovation is controlled. (3) Heterogeneity tests reveal that ECRT benefits energy-intensive firms, non-state-owned enterprises (non-SOEs), and eastern regions, while non-energy-intensive firms, SOEs, and central/western regions show insignificant responses. Thus, policymakers should adopt region-specific measures, avoid uniform implementation, and provide targeted subsidies to incentivize broader participation and ensure balanced regional development.