Taking the implementation of the trading system of “Shanghai-Hong Kong stock connect” in China as the policy background, this paper uses the multi time point double difference model to investigate the impact of the opening of the capital market on the quality of internal control of the target company. The results show that the implementation of the trading system of “Shanghai-Hong Kong stock connect” has significantly improved the quality of internal control of relevant companies, and the conclusion remains valid after controlling other factors and passing the placebo test, removing the influence of A+ H shares and changing the cycle after the robustness test. The mechanism test shows that “Shanghai-Hong Kong stock connect” exerts an impact on the quality of internal control mainly through internal and external mechanisms. The internal mechanism is to control the risk of stock price volatility while the external mechanism lies in auditor reputation risk and government supervision.