In view of the public concerns about pension funds into the capital markets in China, this paper comparatively analyzes the methods of pension funds into the capital markets in major countries and points out the necessity and feasibility of pension funds into the capital markets in China. Pension funds into the capital markets is an inevitable trend. The point is the policy choice. An independent supervisory authority should be set up as soon as possible. “quantitative limitation regulation” should be relaxed and converted into “prudent person rule”. Independent persional pension account should be opened and the freedom of personal choice should be increased. While capital market is still a major investment area, other markets should be explored with discretion.