The Chinese government attaches great importance to optimizing the business environment and has achieved certain results. The impact and mechanism of the business environment on enterprise performance are examined empirically, and the heterogeneity of different investment behaviors, different property rights, and macroeconomic boom or not are explored separately, taking Shanghai and Shenzhen A-share listed companies from 2008 to 2020 as the research objects. The study shows that business environment is conducive to improving firm performance, in which firms’ investment behavior plays a mediating role. Further classifying firms’ investment behavior, we find that business environment mainly improves firm performance by alleviating underinvestment rather than inhibiting over-investment. The impact of business environment on the performance of non-state-owned firms is more significant than that of state-owned firms, and the impact of business environment on firm performance is more significant than that of macroeconomic boom. The impact of business environment on firm performance is more significant in macroeconomic downturns than in macroeconomic downturns. This study provides evidence as to why the business environment should be optimized and suggestions as to how to effectively optimize the business environment.