This paper exploits the quasi-natural experiment of the Shanghai Stock Exchange disclosure requirements for audit committee performance in 2013, as a proxy variable for the enhancement of board supervision, and examine the impact of board supervision on debt financing costs and its mechanisms. This study shows that board supervision reduces the cost of debt financing. After distinguishing the level of corporate debt, it is found that board oversight reduces the cost of debt financing for under-leveraged firms, while board oversight increased the cost of debt financing for over-leveraged firms. The mechanism test results show that board supervision mainly plays the role of “information quality” in under-leveraged firms, while board supervision mainly plays the role of “risk taking” in over-leveraged firms. The cross-sectional test results show that the positive impact of board supervision is more significant in companies with high management power, while the negative impact is more significant in companies with high information uncertainty. This research deepens the understanding of the costs and benefits brought by board supervision, and also provides some inspiration for improving the board supervision mechanism in China.