Sustainable finance incorporates Environmental, Social, and Governance (ESG) principles into business decisions and investment strategies. Incorporating these kinds of considerations in finance has become a key element in recent years. ESG issues can have a material impact on firms performance. ESG ratings may represent a crucial element in the company’s fund raising process. The aim of the present paper is to identify how structural information about the company influence the ESG score. Using a machine learning approach we detect how balance sheet items affect the ESG score of the companies listed in the Euro Stoxx 600 index. We find that the balance sheet items represent a powerful tool to explain the ESG score, the Random Forest algorithm provides the best prediction performance compared to the standard Linear regression approach.