This study investigates the relationship between ESG and financial performance in the United States (US) and Mexican stock markets. Nowadays, there is an urgency for companies to incorporate practices that contribute to attending environmental and social problems, such as reducing their greenhouse emissions. However, not all companies have opted to implement ESG, it may be due to the recent implementation of this criteria in firms, and therefore, the lack of knowledge about the benefits it can bring. Taking this into consideration, this work compares the financial performance of stock portfolios with a high and low ESG of Mexico and the US, using the return of shares, risk and Sharpe ratio as the financial variables. In addition, the study aims to determine whether an underdeveloped country has a higher or lower performance compared to a developed one, using as reference the period from 2015 to 2020. The results indicate that portfolios with lower ESG have a higher return while portfolios with higher ESG have a lower risk.