Discussing the function of green credit policy (GCP), which has dual attributes of being both a “environmental regulation” and a “financial instrument”; is crucial for the process of industrial green transformation. However, there is limited theoretical and empirical evidence on the impact of GCP on green transformation of industry. This research fills this gap by exploring the comprehensive impacts and mechanisms of GCP on the energy intensity (EI) of industrial enterprises in China. Theoretically, the environmental and financial impacts of GCP are introduced into a unified analytical framework on the basis of the heterogeneous enterprise model. Empirically, diverse empirical methods, such as difference-in-differences (DID), difference-in-differences-in-differences (DDD), and mediating effect models, are adopted to examine whether GCP can promote green innovation or accelerate financial constraint. The overall result shows that: (1) GCP has significantly decreased the EI of industrial enterprises. The impact of incentives was far greater than that of constraints. (2) In the incentive effect, energy substitution and innovation offsets exerted a primary influence on reducing the EI of industrial enterprises. (3) The constraint effect was primarily caused by rising financing and pollution abatement costs. This study offers a playbook for policymakers in China and other emerging economies to design effective policies for promoting industrial green transformation and sustainable production.