Given the importance of environmental sustainability, energy security risk in ensuring stable energy supply, minimizing business risks and costs, and supporting long-term investment and sustainable growth, and the examination of the energy security risk and financial development in terms of strategic business aspect is crucial in academic literature. For this, the current study establishes the quantile-dependent association between business development indicators and the environmental sustainability in broader sense. Precisely, this study investigates the role of energy security risk (ESR) and its four sub-indices, i.e., geopolitical (GEPR), economic (ECOR), environmental (ENVR), and reliability risk (RELR) with diverse measures of firm's financial performance in the United States from 1970 to 2020. The novel Wavelet Quantile Correlation (WQC) methodology is selected to obtain the study results. The outcomes of the wavelet quantile correlations expose the non-linear behavior of the variables chosen, acknowledging the method's utility. Regarding the connectedness of financial development with energy security risk indices, the overall results reveal that the banking and stock market sector negatively correlates with the energy security risk at various bearish and bullish market conditions in the short and medium run. With the geopolitical risk, the banking sector is negatively affected, while stock market variables possess an escalating impact. Similarly, the reliability risk is negatively knotted to the quantile association with the bank sector and positively tied to stock market variables. Also, the environmental risk has an increasing negative impact on financial development indicators at various bearish, stable, and bullish quantiles, specifically in the short and long run. In light of the outcomes, policies regarding the enhancement of business strategy development and eliminating the impact of environmental risks in developed countries like the USA have been furnished.