Systems thinking competence is one of the key sustainability competences to make the future more sustainable by focusing on individuals’ capability to analyse sustainability problems across different sectors and scales. The other competencies to foster systems thinking are futures thinking competence, values and critical thinking competence, action-oriented competence, and collaboration competence. In this study, we examined Finnish people’s systems thinking competence and its connections to sustainable transformation. The survey data collected from Finns (n = 2006) were analysed using principal component analysis (PCA) and hierarchical regression analysis. The study showed that the sustainability component loaded reliably into principal components. In particular, the Cronbach’s alpha (0.91) and Spearman–Brown (0.90) were high for systems thinking competence. The hierarchical regression analysis showed that Finns’ values, critical thinking, and individual action-oriented competence predict their systems thinking competence. The results indicate that Finns’ ideas of climate change and biodiversity loss mitigation arise from their individual values and opinions that actions are implemented in an ethically just way.