Based on the perspective of financial development, this paper explores the operating mechanism of the effect of financial development on trade balance through the change of market structure on the demand side, and empirically tests the inter-provincial panel data from 2000 to 2018. The results show that financial development significantly reduces trade surplus, and the impact of financial development on trade balance is heterogeneous among different natural resource endowments, geographical regions, per capital GDP, and before and after the financial crisis and exchange rate reform. Further research shows that financial size has an effect on trade balance through consumption market structure, while financial structure has no such intermediary effect. The research provides policy inspiration for promoting the construction of a strong domestic market and trade power based on the domestic cycling.