Digital infrastructure is an important cornerstone of the development of the digital economy and a strong support for accelerating the construction of a manufacturing powerhouse, a network powerhouse, and a digital China. The systematic evaluation of the causal relationship and impact mechanism between digital infrastructure construction and urban energy efficiency is of great practical significance for promoting the construction of a digital power and winning the battle against pollution prevention and control. However, existing literature on understanding digital infrastructure construction from the perspective of energy efficiency is relatively scarce, especially the lack of in-depth research on how digital infrastructure construction affects urban energy efficiency. This paper uses data from the China Energy Statistical Yearbook, China Urban Statistical Yearbook, and China Statistical Yearbook, draws on the approach of Beck, et al. (2010), uses the “Broadband China” pilot policies implemented in three batches since 2014 as a quasi-natural experiment, and uses the progressive DID model to evaluate the causal effect of digital infrastructure construction on urban energy efficiency. The results show that the implementation of the “Broadband China” urban pilot policy significantly improves urban energy efficiency, and this conclusion is still valid under various robustness tests. Heterogeneity analysis shows that pilot policies have a more significant improvement effect on energy efficiency in non-resource-based cities, non-old industrial bases, and eastern cities. Mechanism testing indicates that the “Broadband China” pilot policy enhances urban energy efficiency through green innovation. Furthermore, this paper finds that the improvement of urban digital infrastructure will strengthen the promotion of energy efficiency to economic growth. This paper contributes to the existing literature in the following aspects: firstly, from the perspective of energy efficiency, it explores how digital infrastructure construction promotes the improvement of urban energy efficiency. It is a supplement to existing research on the environmental effects of infrastructure under the unique background of China. Secondly, this paper makes a robust estimation of the heterogeneity of staggered DID to avoid serious potential errors caused by the two-way fixed effect model and event study estimation in the case of heterogeneous processing effects. Thirdly, this paper explores new influencing factors of energy efficiency and explores the mechanism of digital infrastructure construction on urban energy efficiency from the perspective of green innovation. Fourthly, this paper analyzes the regulatory role of digital infrastructure in promoting regional economic growth through energy efficiency, which will help enhance our understanding of digital infrastructure construction and energy efficiency in improving economic performance. Our research, to a certain extent, reveals the inherent logic of digital infrastructure construction and urban energy efficiency, helps the government departments formulate more targeted policy measures, and provides new ideas for achieving a “win-win” situation of energy conservation, emission reduction, and economic growth.