Green transformation and development is an important issue in global climate change. As an important support for promoting green development, green finance has been highly valued by many countries. However, the public welfare attribute emphasized by “green” and the commercial nature required by “finance” bring conflicts, affecting the sustainable development of green finance. Taking prefecture-level 278 cities in China as the sample, this paper constructs a bilateral fixed effect panel model to empirically analyze the ecological benefits and economic benefits of green finance and the path to achieve “win-win” between them. The study finds that at present, China’s green finance has achieved the improvement of urban ecological benefits and economic benefits as a whole. Moreover, the results remain robust after replacing dependent variables and core explanatory variable proxy indicators, replacing empirical models, and using instrumental variables. Heterogeneity analysis finds that only when the scale of financial talents, the level of Fintech, and the level of foreign investment are above the median of sample city data, the “win-win” effect of green finance is more significant. From the perspective of channels, green finance can achieve “win-win” goals by driving technological innovation, gathering producer services, strengthening environmental supervision, and attracting new enterprises to enter the market. That is, the smooth flow of these channels plays an important role in the effectiveness of green finance. Therefore, it is necessary to optimize the allocation of green finance resources from the aspects of continuously improving the overall level of financial development and unblocking the influence channels of green finance, so as to give full play to the positive role of green finance in urban ecological benefits and economic benefits and promote the high-quality development of urban economy.