This paper unifies the research of the domestic and foreign scholars about the modern industry system, and analyses the formation mechanism of the modern industry system. Because the government behavior innovation is playing the vital role in the modern industry system construction, this paper analyzes industrial present situation of the Economic Zone on the Western Coast of Taiwan Straits, acts the role through the government, and suggestions for the Construction Strategy of the Modern Industrial System in the Economic Zone on the Western Coast of Taiwan Straits from the perspective of innovation.