This paper examines the dynamic connectedness between the clean energy index, green bonds, and the financial stress index, while incorporating the critical roles of crude oil prices, inflation, and interest rates toward environmental sustainability in the US. Employing the Quantile Connectedness approach on daily data from January 2013 to July 2024, the analysis reveals that spillovers are highly event-dependent and intensify dramatically during periods of extreme market movements—both positive and negative. Key geopolitical and economic events, such as the 2016 US presidential election, the COVID-19 pandemic (2020), and the Russia-Ukraine conflict (2022), are identified as primary catalysts for these surges in connectedness. The findings indicate that the clean energy index is susceptible to broader market optimism, with investor behavior and risk management strategies being particularly pronounced during bull markets. Crucially, from a sustainability perspective, this high correlation during market euphoria suggests that clean energy investments are still perceived as risky assets rather than pure impact investments, making them vulnerable to systemic financial shocks. We conclude that investors must adopt robust strategies to mitigate tail risks, while policymakers should develop mechanisms to decouple clean energy financing from general market volatility, ensuring stable capital flows required for a sustainable energy transition and environmental development.