Selecting the data of A share manufacturing listed companies in Shanghai and Shenzhen from 2001 to 2017, using principal component analysis to construct indicators for measuring entrepreneurship and corporate performance, this paper examines the impact of industrial policy embedding on the transmission paths of entrepreneurship on corporate performance and further investigates the impact of industrial policies on the efficiency of corporate capital allocation by using the investment opportunity sensitivity model. The research results show that entrepreneurship can significantly improve corporate performance owing to both innovative spirit and enterprising spirit. The higher the entrepreneur’s innovation and entrepreneurship, the stronger the company’s game ability. Under the regulation of industrial policies, the positive effect of entrepreneurship on corporate performance is more obvious. The external impact of industrial policies on corporate performance has regional heterogeneity, and enterprises in non provincial capital cities have better performance improvement effect after being affected by industrial policies. The weaker the government intervention in the location of the company, the more obvious the effect of industrial policy on the improvement of corporate performance. The positive impact of industrial policy on the efficiency of corporate investment is weakening year by year.