Microfinance has grown significantly worldwide, particularly in India and its neighboring regions. This study examines the impact of microfinance on small and medium agricultural enterprises (Agri-SMEs) among beneficiaries of Self-Help Groups (SHGs) in India and Afghanistan. The microfinance programs, launched in both countries to empower Agri-SMEs and enhance the income of SHG members, were analysed in Punjab state, India, and Badakhshan province, Afghanistan. The analysis included both beneficiaries (treatment group) and non-beneficiaries (control group). The study highlights the significant impact of microfinance on the development of SHGs and Agri-SMEs in the selected regions. Using propensity score matching analysis through three methods, Radius Matching, Nearest Neighbor Matching, and Kernel Matching—strong evidence was found supporting the positive influence of SHG participation on the income of agri-SMEs in both countries. The study focuses on microfinance institutions in India, including Punjab National Bank, Fusion Microfinance Pvt. Ltd., Capital Small Finance Bank, and Cooperative Bank, as well as institutions in Afghanistan, such as FMFB, Cooperative Bank, OXUS, and FINCA. Results demonstrate the effectiveness of SHGs in enhancing the income-generating capabilities of small and medium enterprises, regardless of country-specific differences. Moreover, factors such as age, education, and household size were found to have no significant influence on SHG participation, while gender distribution was relatively balanced between participants and non-participants. These findings underscore the potential of SHGs to boost income generation for agri-SMEs and suggest the need for targeted initiatives to promote SHG participation across diverse demographic groups.