Under the concept of green development, coal and oil control policies were frequently introduced, but the “cold” thinking under the “hot” environment is more conducive to the smooth promotion of the “transitional period” of China’s power-structure transformation. How to better consider production efficiency and environmental benefits is the theme that thermal power enterprises need to constantly break through. The most feasible “transitional period” path for thermal power enterprises is improving the efficiency of energy saving, reducing emissions, and simultaneously ensuring benefits and social awareness. This paper selected 17 listed companies in China’s thermal power sector, combined with their input resources, output, and other indicators, using a slacks-based measure–data envelopment analysis (SBM–DEA) model with undesirable outputs, and comprehensively analyzed the relationship among the technical efficiency improvement and the industry status, including price earnings ratio (P/E ratio) in the recent two years. The results show that the improvement of energy efficiency can indeed optimize enterprises’ operations and improve P/E ratio. Although clean-energy power generation has better environmental benefits, it is still lacking in efficiency; therefore, the balance between efficiency and environment sustainability should concern us.