The relation between financial performance and sustainability in the global pension sector has been widely researched. Current research confirms that sustainable investments can have a positive influence on financial performance, but how that effect materializes is still debated. This study argues that the ambiguity concerning this positive impact is caused by a lack of integration of sustainability in organizations. This lack of integration causes the sustainability efforts to harm financial performance of the pension funds. Nevertheless, research shows that, if sustainability is integrated in the core logic of the organization, sustainability efforts do not yield lower returns. We assess the current level of sustainability integration in the Dutch pension fund sector using a multiple case study approach. Next, this study formulates the challenges related to sustainability integration in the sector, after which solutions to the specific problems are presented. Given the lack of integration, the barriers for increasing sustainability integration can be viewed as a Catch-22. First, a perceived separation is observed between the societal pressure to invest sustainably and constituents’ pressure to realize financial value. Second, pension funds are ill equipped for the complexity in sustainable investing and use a third party as investment manager, creating a dispersion of knowledge of sustainable investments and the responsibility to do so. To be able to solve the Catch-22 dilemma, greater collaboration, standardization and a sustainability vision are needed, resulting in a positive impact on sustainability and positive effects on financial return.