Palm oil industry in Malaysia, particularly palm oil mills, has been criticised due to the sustainability issues arising from the production of palm oil that severely impacted environmental and social sustainability. Companies that fail to manage sustainability issues may create significant sustainability risks to their sustainability performance in terms of boycotts, regulation, and reputation risks. Because of this concern, sustainability risk management (SRM) has gained attention as it influences companies’ sustainability performance. Thus, this study aims to investigate the impact of sustainability risk management on sustainability performance in palm oil mills in Malaysia. In total, 457 questionnaires were distributed between July and December 2020, with a response rate of 25.8%. Data were analysed using Partial Least Squares Structural Equation Modelling (PLS-SEM). The findings unveil that SRM has a positive and significant impact on the mill’s sustainability performance. The findings contribute to current knowledge and provide useful insight to policymakers on the importance of SRM to sustainability performance.