Though studies have progressively shown that the ESG (environmental, social, and governance) index can bring more stock return, the literature about the connectedness between ESG and financial market or macroeconomics is insufficient. Therefore, the relevance of ESG to macroeconomics and financial markets needs to be studied so that policymakers can consider certain preferential policies, and investors can also consider whether ESG is a good investment choice. We use the weekly data from July 2009 to November 2020 to measure the spillover among MSCIESG (MSCI USA ESG leader index), STLFSI (St. Louis Fed Financial Stress Index), WEI (Weekly Economic Index), WGS1MO (1-Month Treasury Constant Maturity Rate), and WTI (West Texas Intermediate Crude Oil Future Prices) in America. We employ the mixed methodologies of Diebold and Yilmaz in the time domain and of Baruník and Křehlík in the frequency domain—we develop the model using a moving-window. The spillover index shows the spillover effect of crises or impacts in the system. The results show the MSCIESG index return has a huge impact on the financial market, and the volatility system is more susceptible than the return system when a crisis or shock arises. Further, the shocks or crisis in the return system, differing from the previous literature, will have long-term influence. The environmental, social, and governance (ESG) criteria are a series of standards for the company or investor who pursues long-term sustainable benefits. ESG investment refers to an investing behavior in that companies are concerned about environmental issues (climate change, greenhouse effect, environmental crisis, pollution, and renewable resources), social issues (improvement of the working environment, recruitment of diverse talents, a responsibility to local communities, human rights, and animal welfare, etc.), and governance issues (management structure, employee relationships, executive compensation, transparency of management strategies, expansion of information disclosure contents, the value of shareholders’ opinions, etc.), and investments. Many companies focus on reasonable long-term profits. It is increasingly important to study ESG investment because both investors and companies are concerned about ESG concerning sustainability.