Although there have been many recent studies on the impact of energy use on carbon dioxide emissions, the ASEAN region has not received much attention. It is important to understand the relationship between energy use and emissions in these countries because their energy demands are growing quickly due to urbanization and electrification. In this study, we focused on the five largest ASEAN economies, known as ASEAN-5, and used a non-linear autoregressive distributed lag model to analyze the asymmetric effects of per capita energy consumption on carbon dioxide emissions. We found that there is a significant long-term asymmetrical effect in Thailand, and a significant short-term asymmetrical effect in Malaysia. These results suggest that there is a need for more ambitious energy efficiency policies to improve building, equipment, and appliance efficiency, which will ultimately help to reduce carbon dioxide emissions.