The research focus on the six key industrial sectors in Shanghai based on DEA and Malmquist index from static and dynamic perspectives. There are two points what the research finds: From the static point of view, the scale efficiency of Shanghai industry is low, lacking technological innovation capability; from the dynamic point of view, TFP level has been improved, mainly due to technological change, and technical efficiency is in decline because of insufficient scale efficiency. The conclusion is that the optimization of Shanghai industrial efficiency can be unfold from four aspects, such as the rational allocation of investment resources, the optimization of the industrial structure, strengthening technological innovation and increasing total factor productivity.