This study explores the safe haven role of industry sectors classified by the Global Industry Classification Standards (GICS) for global Environmental, Social, and Governance (ESG) stocks in the United States. Our study applies the novel cross-quantilogram and quantile time-frequency connectedness approach for daily time series data from November 2019 to October 2023. Our findings confirm that industry sectors, mainly financials, industrial, communication, information technology, energy, consumer staples, and consumer discretionary, are the safe haven avenues at down, normal, and up market conditions; however, these safe haven avenues vanish for the long-term investment horizon. We also explore the risk spillover patterns for the total time domain and the decomposed spillover level for the short- and long-term spillovers. Our connectedness finding shows that the net transmitters and net receiver patterns are similar for the extreme markets but dramatically change for the normal markets. Finally, based on the portfolio rebalancing strategy, the returns of our portfolio, comprised of industry sectors and the ESG index, outperform the overall market. Moreover, our portfolio yields lower negative returns and a higher Sharpe ratio when compared with the overall market returns. These findings confirm the benefits of diversification by reducing downside portfolio risk. This study is primarily relevant for socially responsible portfolio and risk management investors.