Saudi Arabia’s electricity system is undergoing a capital-intensive transition, in which efficiency improvements at existing and new generating assets must compete for funding with renewables, grids, storage, and gas infrastructure. This review explores how financing design is able to transform technically credible energy-efficiency opportunities in power generation into investable projects aligned with Vision 2030. Rather than viewing efficiency solely as an engineering issue, the paper integrates evidence on heat-rate improvement, combined-cycle optimisation, digital operation and maintenance, auxiliary-load reduction, flexible generation, energy-performance contracting, green bonds, sukuk, and blended finance. A structured review of peer-reviewed literature from 2020 to 2025 links technical savings to risk allocation, cash-flow certainty, and cost of capital. The findings show that financing quality significantly affects the bankability of efficiency projects, as verified savings are often distributed across fuel, maintenance, reliability, and capacity benefits rather than consolidated in a single revenue stream. In Saudi Arabia, the most compelling near-term approach is to aggregate repeatable efficiency measures across generation portfolios, apply transparent baselines and performance guarantees, and connect refinancing to verified outcomes. The review concludes that energy efficiency should be considered productive infrastructure: a financing category that can reduce system costs, support renewable integration, conserve fuels, and improve the credibility of transition investments under Vision 2030.