This paper investigates the financial performance difference between seven U.S. socially responsible investment (SRI) indices and their corresponding benchmark indices during different stock market regimes. We employed the Markov Switching Model to precisely divide the study period into three regimes. After that, we compared 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 between the SRI and the non-SRI in terms of risk-adjusted returns. Our results imply that there is no financial sacrifice by SRI investors even 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.