The Environmental, Social, and Governance (ESG) system has gained popularity recently as concerns over issues like corporate responsibility, labor conditions, and climate change become more pressing. At the same time, investors from around the world have become increasingly interested in the ESG Thematic Index because it offers greater risk resilience and returns than traditional trading strategies. Building a Chinese financial ESG system is crucial to advancing the development of ESG in China since Chinese finance needs to create and enhance its own ESG system but there is still a lack of systematic study in this area. This article first defines the meaning of ESG-themed indices, then selects representative ESG-themed indices from the global market, analyzes the construction processes and methodologies of the indices, and finally makes pertinent recommendations to promote the growth of ESG-themed indices in China using inductive, comparative, and case study methods.