The research category of consumer finance is defined as four aspects: insurance, consumer credit, savings and investment. Consumer finance promotes the transformation of consumption structure and the improvement of consumption quality through the allocation effect, financing effect, wealth effect and flow effect. On the basis of theoretical analysis, by using the panel data of 30 provinces, autonomous administrative regions and municipalities from 2000 to 2014, this paper makes an empirical study on how the consumer finance promotes the urban residents consumption in China. The results show that, from the view of consumption structure, consumer finance has obviously promoted the development of urban residents consumption structure from the lower level of the food and clothing to the higher level of transportation and telecommunications. From the rate of consumption upgrading, the contribution of the consumption upgrade from large to small is investment, insurance, savings and consumer credit in turn, but the statistical results of consumer credit are not significant. The empirical results from different regions show that investment and insurance contribute the most to the consumption of residents in the eastern developed areas, and the least to the residents in the underdeveloped regions of the West. Hence, a “ladder type difference” is presented among the east, the middle and the west. The less developed areas is more dependent on the traditional means of savings than the developed regions.