The article applies a three-stage Slacks-Based Measure-Data Envelopment Analysis (SBM-DEA) pattern to examine the relationship between energy consumption and unfavorable CO2 emissions on green sustainable development, for the 11 cities of the Guangdong-Hong Kong-Macao Greater Bay Area (GBA) during 2010−2016, by going through various violated factors and stochastic disturbance. Labor, capital and energy resource are chosen as input variables, while GDP and CO2 emission as output variables. During the three phases consisting of the SBM-DEA model (first stage and third stage) and SFA analysis (second stage), CO2 emission is considered as an unfavorable outcome, while stochastic statistical disturbances and external environmental influences are identified. The results show that the average efficiency of the GBA cities is 0.708, with only Shenzhen, Macao SAR and Hong Kong SAR having an efficiency of 1 during the whole study period. Based on the findings, suggestions are made for the GBA cities’ sustainable development aspects.