Environmental regulation, as an institutional force to achieve the “dual carbon” goals, is the key to achieving high-quality economic and social development. Taking China’s A-share non-financial listed companies from 2008 to 2020 as the sample, this paper analyzes the internal mechanism and effect of environmental regulation on enterprises’ cross-regional investment strategy. The results show that environmental regulation inhibits the strategic orientation of enterprises’ expansionary investment, and presents an unexpected investment preference of “pollution refuge” in the investment location selection strategy. Situational interaction testing shows that corporate culture cognition, government financial support, and green finance development have synergistic effects, competitive effects, and double-edged effects with environmental regulation, respectively. Further study shows that environmental regulation affects the strategic orientation and location selection strategy of enterprise investment by influencing their environmental costs, and the inhibitory effect of environmental regulation on the cross-regional expansion of state-owned enterprises is more prominent. In theory, this paper expands the research paradigm of “environmental regulation and corporate behavior”; in practice, it provides empirical evidence and important reference for evaluating the effectiveness of environmental regulation tools, improving the quality of institutional supply, and optimizing the strategic adjustment and strategic response of enterprises.