The lack of conservatism of accounting information damage the interests of shareholders and creditors. How to carry out effective supervision is a common focus of the academic and practical circles. This article empirically analyzes the effect of the annual report inquiry letter on accounting conservatism in Shanghai and Shenzhen stock exchange, using A-share listed companies from 2015 to 2019 as the research objects. The study found that, the annual report inquiry letter significantly improve the accounting conservatism of the inquired company. Furthermore, the greater the number of inquiries for the same annual report, the greater the number of questions in the annual report inquiry letter, the greater the effect of improving the accounting conservatism. When the annual report inquiry letter require an intermediary agency to issue a verification opinion or the company’s postponement letter, the greater the effect it has on accounting conservatism. Further analysis found that for companies with high debt ratios and poor internal control quality, the annual report inquiry letter has a better supervision effect. At the same time, the supervision relies on the information environment, and the effect is more obvious when the company’s information environment is better. Besides, the mechanism test shows that the annual report inquiry letter improve accounting conservatism by reducing information asymmetry, improving the independence of independent directors in performing their duties, and strengthening investors’ attention. The conclusion shows that the annual report inquiry letter can effectively improve the quality of listed companies, give full play to the front-line supervision, and provide policy ideas for the supervision to further “strengthen interim and post supervision, improve hierarchical and classified supervision” and improve the accounting conservatism of listed companies.