Consumption structure and industrial structure have mutual influence and promotion. In the context of urbanization, this paper describes and analyzes the consumption structure and modern service industry of urban residents in Shanxi Province from 2007 to 2017, and makes an empirical analysis of the relationship between them. The results show that the food expenditure and health care of urban residents in Shanxi Province are related to the modern service industry. Increasing the income of urban residents, expanding the effective service supply and improving the social security system will contribute to the upgrading of the consumption structure of urban residents in Shanxi Province and the high-quality development of modern service industry.