This study examines the impact of sustainability uncertainties on gross fixed capital formation in a sample of developed countries. The causal relationship between the Environmental, Social, and Governance-based Sustainability Uncertainty Index and fixed capital investments is analyzed using quarterly data for the period 2003–2025 for Germany, France, Italy, Japan, and the United States. The time-varying causality method shows that the relationship between variables is not static and may emerge with varying intensities in different periods. The findings reveal that the impact of sustainability uncertainty on investments overlaps particularly with the turning points of global climate policies, energy crises, and regulatory steps of the European Union. These findings demonstrate that fixed capital investments are sensitive to sustainability-related uncertainties in developed countries. Therefore, setting sustainability targets within a predictable and consistent framework, maintaining investor confidence, and maintaining the stability of the green transformation process are critical.