This paper examines the influence of two dimensions of cognitive empathy—perspective-taking and fantasy—on decision-making in Environmental, Social, and Governance (ESG) investments. The findings reveal that perspective-taking enables investors to adopt the viewpoints of those impacted by social or environmental challenges, thereby enhancing their sense of social responsibility and reinforcing their awareness of long-term returns. This drives them to prioritise projects that deliver social and environmental benefits. Fantasy, on the other hand, facilitates scenario simulation, allowing investors to gain a more intuitive understanding of the long-term social and environmental value of ESG projects. This enhances social value alignment, boosts confidence in long-term returns, and fosters the exploration of innovative investment strategies. Furthermore, the abilities of perspective-taking and fantasy assist investors in balancing economic returns with social value, thus promoting the advancement of ESG investments. However, excessive reliance on these abilities may lead investors to overlook short-term returns or economic feasibility. Future research could delve deeper into the underlying mechanisms of cognitive empathy in investment decision-making and develop strategies for optimising its application, offering theoretical support and practical guidance for the sustainable development of ESG investments.