Green investment considers energy conservation and environmental protection as its main goals. Few studies based on simultaneous equation models have evaluated the relationships between green investment, clean energy consumption, carbon emissions, and economic growth. We use panel data from 30 provinces and cities in China from 2003 to 2017 to establish a simultaneous equation model that can evaluate these crucial relationships. At the national level, green investment has a significantly positive impact on clean energy consumption and economic growth; however, it has no significant effect on carbon dioxide emissions. Moreover, there is a U-shaped relationship between economic growth and clean energy consumption, as well as economic growth and CO2 emissions. When the per capita GDP is greater than 105735.92 (RMB), the use of clean energy will increase and CO2 emissions will decrease, thereby benefitting the environment and economy. Additionally, the impacts of green investment on clean energy differ in China’s eastern, central, and western regions, and the non-linear relationships between economic growth and clean energy consumption in these regions also differ. Based on these findings, countermeasures and suggestions are proposed to spur development within different regions.