The significance of companies that practice Environmental, Social and Governance (ESG) principles have in determining sustainability and the choice of where to invest has gained traction globally. Many investors view the performance of a company with respect to ESG as an indicator of their long-term value creation potential and risk management capabilities. This study focuses on Tamil Nadu, which is one of India's most industrialized states, as an excellent case study for research on ESG adoption due to its robust manufacturing, renewable energy, information technology and automobile sectors. The objective of this study was to evaluate how the performance of ESG factors impacts stock market returns for publicly traded firms within the state of Tamil Nadu. Data were collected directly from 120 different sources consisting of investors, financial analysts and company representatives through a structured questionnaire. The research utilized a variety of techniques for analysis including descriptive statistics, reliability analysis, Confirmatory Factor Analysis (CFA), Structural Equation Modelling (SEM). The results of the study showed that the strongest positive impact on stock market return results from governance factors followed by environmental and social factors. Further, the extent to which ESG performance is impacted by regulatory support had a significant impact on the relationship between ESG performance and stock returns. The total predictability of stock market return using this model was found to be approximately 68.4%. This study contributes to the literature surrounding sustainable finance and provides empirical evidence from Tamil Nadu regarding the performance of ESG and its relationship to stock market performance. Substantial implications for policy makers, investors, and corporate managers are yielded by the results of this study.