The aim of this study is to determine the effect of environmental, social, and governance (ESG) performance on the cost of capital. The theoretical framework and empirical evidence on the topic make it difficult to reach a definitive judgment regarding the relationship between ESG practices and the cost of capital. Within the scope of the study, the relationship between ESG performance and the cost of capital is re-examined using a large sample. The research sample includes publicly traded firms from a total of 36 countries across developed and emerging markets. The study period covers 2015–2024. Two-way fixed effects estimators and two-step system GMM analyses are employed. The findings indicate a negative effect of ESG performance on the cost of capital. When tested for ESG components, this result remains valid for the environmental and social dimensions, while it loses statistical significance for the governance dimension. Comparative analyses between developed and emerging markets show that the environmental and social dimensions have a significant impact on the cost of capital in emerging markets, whereas only the environmental dimension has a significant effect in developed markets. In the existing literature, the ESG–cost of capital relationship is examined for the first time with a sample as comprehensive as that used in this study.