More than 120 countries and regions have set the goal of carbon peak and carbon neutrality target (hereinafter referred to as “dual-carbon” targets) as the global response to climate change moves forward. As the global energy transformation process accelerates, oil and gas enterprises mainly based on traditional oil and gas business are facing multiple environmental regulation and carbon emission reduction pressure, and low-carbon transformation strategy has attracted widespread attention. The proposal of the “dual carbon” target makes China’s oil and gas enterprises not only strive to achieve the target through carbon emission reduction, but also take into account their own performance. As a part of the operation and production process of oil and gas enterprises, comprehensive risk management undertakes the important task of escorting the rapid development of oil and gas enterprises, but its impact on the performance of oil and gas enterprises is often ignored. At the same time, the existing comprehensive risk management researches are mainly focused on finance and insurance, while the oil and gas total risk management studies have not received enough attention. In addition, economic, technological and social developments have brought with them many new risks, and traditional risk management in oil and gas companies is increasingly showing its limitations and failing to meet the needs of existing risk management. In this paper, taking 23 state-owned oil and gas enterprises as the research object, the enterprise comprehensive risk management (ERM) evaluation system for the oil and gas industry is constructed, and then the DEA-Malmquist index method is used to measure the performance of the oil and gas industry. On this basis, the fixed-effect and threshold-effect regression model are used to investigate the influence of ERM on oil and gas firm operational performance. We find that the ERM plays a major role on improving the performance of oil and gas companies, although the ERM situation varies greatly among companies. Specifically, the implementation of total risk management of China National Petroleum Corporation, Sinopec Shanghai Petrochemical Company Limited, China Oilfield Services Limited, China Petrochemical Corporation and Sinochem International Corporation is at a high level in the industry, while Daqing Huake Company Limited, Yueyang Xingchang Petrochemical Co., Ltd and Shaanxi Construction Engineering Group Corporation Limited are at a low level in the industry. Further, the ERM mainly promotes the performance improvement of oil and gas enterprises by improving the technological progress, while it inhibits enterprise performance growth by preventing the improvement of comprehensive technical efficiency. The fundamental explanation is the “lag effect” of the ERM on scale efficiency. In the future, oil and gas enterprises need to further implement ERM according to their own conditions, and establish an ERM system consistent with their own management system.