As the key carrier of implementing the national innovation-driven development strategy, the specialized, refined, unique, and innovative (“SRUI”) enterprises are of great significance for enhancing the capability of independent innovation. In recent years, with the development of digital finance and the construction of business environment, the impact on “SRUI” enterprises has become increasingly far-reaching. On the basis of using the mathematical model to explore the relationship between digital finance, business environment, and sustainable innovation capability of “SRUI” enterprises, this paper carries out dynamic threshold model analysis and mechanism testing on the sample data from 2011 to 2022. The results show that the development of digital finance significantly improves the sustainable innovation capability of “SRUI” enterprises, but there is a marginal diminishing effect in the long run. The construction of business environment can alleviate the marginal diminishing effect of digital finance and provide gains for the sustainable innovation capability of “SRUI” enterprises. There is a nonlinear relationship between the three. However, this conclusion is restricted by certain conditions, and the promotion effect is relatively obvious only for non-state-owned “SRUI” enterprises, those in central and western regions, and those in the manufacturing industry. Mechanism testing shows that digital finance plays a positive role in the sustainable innovation capability of “SRUI” enterprises mainly by alleviating factor mismatch, realizing value co-creation, and promoting innovation cooperation. The above conclusions provide policy enlightenment on how to promote the sustainable innovation of “SRUI” enterprises.