The EFI association was born in 2015 during the workshop Energy Finance Italia (EFI) - Edizione 1, i.e. EFI1, held at the University of Camerino, in Camerino (MC), Italy, as a minor event of the Energy Finance conferences (EF) series. EF conferences are now called Commodity and Energy Markets conferences (CEM), the last of which, CEM17, was held in Oxford, UK, in 2017, and the next of which, CEM18, will be held in Rome, Italy, in 2018. CEM conferences are sponsored by the CEMA. Special EF workshops are held in winter under the name Energy Finance Christmas (EFC), the next of which, EFC18, will be held in Bolzano, Italy.

During EFI1 it was decided that the association would organize each year a workshop. The workshop Energy Finance Italia (EFI) - Edizione 2, i.e. EFI2, was then held in 2016 in Padova, Italy. EFI3 should have been organized in Camerino in 2017, but unfortunatley that was not possible.