Southern Jiangsu is one of the most developed regions in China. Analyzing the capital market financing efficiency has important significance for Jiangsu Province and other regions to give full play to the function of capital market resource allocation. Based on the analysis of the financing status of the capital market in the whole country and southern Jiangsu Province, this paper selects the Southern Jiangsu companies that were listed on the market in 2014—2017 as research samples, adopts BCC model in the data envelopment analysis method, and evaluates the financing efficiency of the capital market in Southern Jiangsu Province from the perspectives of year, sector, industry and city. The results show that the financing efficiency of Listed Companies in southern Jiangsu is different in different dimensions, and the overall financing efficiency still has room for improvement. The improvement of comprehensive efficiency depends more on the improvement of pure technical efficiency.