As the Chinese government pays great attention to the high-quality development and the restoration of the ecological environment in the Yellow River Basin as well as under the constraints of financial funds for energy conservation and environmental protection, the efficiency improvement has become an important driving force for the optimization of ecological environment. The efficiency of fiscal expenditure on energy conservation and environmental protection in 50 cities in the Yellow River basin from 2007 to 2018 is calculated and analyzed by the super-efficient SBM-undesirable model. It is found that during the sample period, the average efficiency of fiscal expenditure on energy conservation and environmental protection in the Yellow River Basin is 0.67, with improvement of about 30%, and it exhibits three stage characteristics of “steady-downward-up”. In terms of the spatial distribution, the efficiency value at the right tail of “Ji” curve of the Yellow River is higher, and the low-value areas are randomly distributed at the edge of the Yellow River Basin. The efficiency of fiscal expenditure on energy conservation and environmental protection has not increased in proportion to the local GDP. The comprehensive value characteristics of efficiency of fiscal expenditure on energy conservation and environmental protection are obviously different between cities, and based on the pure technical efficiency and the scale efficiency, four types are classified: double high, high and low, low and high, and double low. Therefore, some suggestions are put forward for improving the efficiency of fiscal expenditure on energy conservation and environmental protection, including promotion of industrial upgrading, establishment of cooperative watershed management system, optimization of capital allocation capacity according to local conditions, and improvement of budget management level.