Sustainable development is a global consensus, and green finance is considered to have important impact on the sustainable development. However, there is limited research exploring the influence paths and transboundary impacts of green finance on the sustainable development. In this study, we developed an assessment system for green finance (GF) and sustainable development goals (SDGs) and used China’s provincial panel data over the period 2008–2020. We utilized the panel data model, mediating effect model, and spatial Durbin model to examine the effect, influence paths, and transboundary impacts of green finance on the SDGs. Our findings reveal that GF has a significantly positive influence on the SDGs. GF promotes the SDGs by adjusting the industrial structure, promoting green innovation, and reducing energy consumption and CO2 emissions. Notably, the positive effect of GF on the SDGs has prominent differences in eastern, central and western China, and the establishment of a green finance system significantly strengthens the effect. Furthermore, we found that the synergistic effect of GF in peripheral provinces contribute to SDGs progress of local provinces, especially in eastern region and the period over 2016–2020. This study provides valuable insights for the world to develop green finance and achieve sustainable development.