The high-risk, high-reward nature of shadow banking activities of non-financial enterprises is highly prone to triggering systemic risks. To control the shadow banking risks associated with non-financial enterprises, it is necessary to explore the root causes. ESG ratings reflect a company’s sustainable development capabilities and can help enterprises gain access to financial resources, thereby achieving financial support for the real economy. Against the backdrop of comprehensively advancing green development principles, assessing enterprises’ sustainability and demystifying the ESG rating divergences will provide a novel perspective for identifying shadow banking risks in non-financial enterprises. This paper takes A-share listed companies in Shanghai and Shenzhen from 2009 to 2023 as the research object, and studies the impact of ESG rating divergence on the shadow banking of non-financial enterprises. It is found that ESG rating divergence intensifies the shadow banking of non-financial enterprises. However, enhancing information transparency and alleviating financing constraints can weaken the relationship between the two. Mechanism testing finds that the ESG rating divergence has intensified the shadow banking of non-financial enterprises by amplifying the self-interest motives of management and investor sentiment. Heterogeneity testing finds that when the internal governance level of enterprises is low, external supervision is weak, and industry competition is fierce, ESG rating divergence has a stronger intensifying effect on shadow banking of non-financial enterprises. Further research has found that the intensification of ESG rating divergence on shadow banking of non-financial enterprises will increase their operational risks. Compared with existing literature, this paper makes the following contributions. First, it examines the impact of ESG rating divergence on the shadow banking activities of non-financial enterprises, thereby enriching the literature on the economic consequences of ESG rating divergences and the influencing factors of shadow banking involvement by non-financial enterprises. Second, it identifies the mechanisms through which ESG rating divergences affect shadow banking activities in non-financial enterprises from the perspectives of managerial self-interest and investor sentiment, providing deeper insights into the intrinsic relationship between ESG rating divergences and shadow banking practices. Third, it investigates the heterogeneity in the relationship between ESG rating divergences and shadow banking of non-financial enterprises from the perspectives of the internal governance level of enterprises, the intensity of external supervision, and the degree of industry competition. It further tests the economic consequences of the increase in enterprises’ operational risks caused by ESG rating divergence promoting the shadow banking of non-financial enterprises. This paper identifies the driving forces behind the shadow banking activities of non-financial enterprises from the perspective of ESG rating divergences. It offers valuable insights for regulators to actively take measures aimed at reducing such divergences, supports non-financial enterprises in optimizing corporate governance to mitigate risks associated with shadow banking operations, and assists investors in identifying operational risks within target firms. The research provides a theoretical foundation for improving the ESG rating system and regulating shadow banking activities among non-financial enterprises.