The aim of this paper is to analyze and understand the relation between oil price and stock markets in the energy sustainable countries. The main hypothesis of the study is that the economies of the countries in which energy is sustainable are more resistant to changes in oil prices. The energy sustainability in this study is defined according to the Energy Sustainability Index prepared by World Energy Council (WEC). The relationship between the stock market performance of the group and oil prices was analyzed through Johansen Co-integration Test and Granger Causality Test in the 2004-2014 and 2008 Financial Crisis period (2008-2010). The result of the top 7 countries in the Energy Sustainability Index indicates that the stock market performance of the group is not co-integrated with oil prices. However, there is a co-integration between stock market performance and oil prices in the seven countries at the bottom, so economies of the bottom 7 countries are sensitive to oil prices. During the crisis period, a co-integration appears between the variables. Finally, none of the sub-indexes are individually fully compatible with the main index co-integration outcomes in the total period.