This paper investigates the financial performance difference between seven US Socially Responsible Investment (SRI) indices and their pair-wised corresponding benchmark indices across different stock market regimes. We employ the Markov Switching model to specifically divide the study period into three regimes. We then compare the risk, return and risk-adjusted-return of the SRI indices during each identified regime with their corresponding benchmark indices. We find that SRI has higher returns than non-SRI across three different regimes, but there is no difference in the risk-adjustedreturn between SRI and non-SRI over time. Our study results imply that there is no sacrifice for SRI investors when market conditions change. We contribute to the literature by taking into consideration for the first time the effect of the stock market regimes on the financial performance comparison between SRI and non-SRI investments.