High electro-optical conversion efficiency is one of the most distinctive features of semiconductor lasers as compared to other types of lasers. Its further increase remains a significant objective. Further enhancing the efficiency of edge-emitting lasers (EEL), which represent the highest efficiency among semiconductor lasers at present, is challenging. The efficiency of vertical cavity surface emitting lasers (VCSELs) has always been relatively low compared to EEL. This paper, combining modeling with experiments, demonstrates the potential of multi-junction cascaded VCSELs to achieve high efficiency beyond that of EELs, our simulations show, that a 20-junction VCSEL can achieve an efficiency of more than 88% at room temperature. We fabricated VCSEL devices with different numbers of junctions and compared their energy efficiency. 15-junction VCSELs achieved a maximum efficiency of 74% at room temperature under nanosecond driving current, the corresponding differential quantum efficiency exceeds 1100%, being the largest electro-optical conversion efficiency and differential quantum efficiency reported until now for VCSELs.