Taking China’s carbon trading policy introduced in 2011 as a natural exogenous shock, this study used the micro-enterprise data from 2010 to 2018 to construct a quasi-natural experiment. The triple difference model and multiple mediating effect models were used to examine the impact of this policy on the economic performance of highly polluting industrial enterprises, and to verify whether carbon trading policies can achieve economic dividends and its transmission mechanisms. The results show that: (1) Carbon trading policy significantly improves the economic performance of high-pollution industrial enterprises and realizes economic dividends. (2) Mechanism test shows that the carbon trading policy can indirectly affect the economic performance of highly polluting industrial enterprises through the low-carbon subsidy support effect, corporate benefit incentive effect and R&D innovation dynamic effect. Enterprise benefit incentive effect and innovation motivation effect show positive effects, while the support effect of low-carbon subsidies shows a concealing effect. (3) The heterogeneity analysis shows that, in terms of the overall effect, carbon trading policy has a better effect on the economic performance of non-state-owned enterprises and small-scale enterprises. As for the mediating effect, the whole mediation effect of carbon trading policy on the economic performance of state-owned enterprises and large-scale enterprises is obvious, and there are only some significant parallel and chain-mediated mediation effects on the economic performance of non-state-owned enterprises and small-scale enterprises. This study makes a beneficial supplement to the theoretical construction of China’s carbon market from a micro perspective, and provides data support and policy suggestions for the differentiated implementation of carbon trading policies and the design of emission reduction and efficiency enhancement mechanism for highly polluting industrial enterprises.