Taking SMEs listed on the SME board of Shenzhen Stock Exchange from 2012 to 2017 and disclosing R&D input data as samples, this paper establishes a regression equation to test the impact of financing constraints on R&D investment of SMEs in China, and the impact of financing constraints on R&D investment of SMEs has a threshold effect. The research finds that the R&D investment of SMEs has certain financing constraints. At the same time, there is a threshold effect between SMEs'financing constraints and R&D investment. When financing constraints are taken as threshold variables, the impact of enterprise financing constraints on R&D investment shows a significant double threshold effect, and the threshold values are 10.3209 and 11.0744.