This paper establishes the unbalance panel data of 31 provincial-level administrative regions from 2002 to 2021, and sets a nonlinear econometric model to examine the relationship between tax efforts and financial development after using LASSO regression to measure the variable of tax efforts. The result shows that there is a significant inverted U-shaped relationship between tax efforts and financial development, and the fiscal gap has a negative moderating effect on the relationship between them, which is still true after endogeneity treatment and a series of robustness tests. Heterogeneity test shows that there is an obvious inverted U-shaped relationship between tax efforts and financial development in consumption tax, western regions and low export rebate rate regions. VAT tax effort determines the negative impact of total tax efforts on financial development. Therefore, in the process of promoting financial development in the future, we should not only maintain moderate tax efforts and stabilize the fiscal gap, but also regulate the behavior of local governments and reasonably define the boundary between the government and the market, so as to create a favorable environment for local financial development and support the high-quality development of the real economy.