The western region of China is a fundamental ecological protection barrier for China. The conflict between regional economic development and ecological environmental protection has always existed in the region. This study first evaluated the water–energy efficiency (WEE) of 11 provinces in western China from 2011 to 2019 using the super-slacks-based model with undesirable outputs and analyzed their spatiotemporal characteristics. It then investigated the influence of financial development level on WEE. The results indicate that (a) the WEE in Western China was at a relatively low level, showing an upward trend from 2011 to 2016 and fluctuating after 2016; (b) financial development levels had U-shaped impacts on the WEE of Western China, which reduced at first and then rose; (c) increasing technological innovation capabilities and trade openness had positive impacts on WEE in Western China, while urbanization level had a negative effect on WEE; and (d) an examination of robustness using two different methods showed that the test results are consistent with the above conclusions. Therefore, this study has robustness. We also put forward corresponding policy suggestions, such as increasing financial support for clean and low-carbon industries, increasing input in science and technology, vigorously developing cleaner and environmentally friendly foreign trade, and implementing a new type of urbanization strategy, to promote the WEE of Western China.