Based on the theory of government audit information and immune system theory, panel data of 278 Chinese cities from 2009 to 2018 were selected for empirical analysis to analyze the influence of government audit on urban entrepreneurial activity. The research shows that government audit supervision and governance can significantly improve the entrepreneurial activity in cities, and this conclusion is still valid after a series of robustness tests. Mechanism analysis shows that government audit, as an external supervision mechanism, can improve the regional government, market, financial and judicial environment, and thus enhance the entrepreneurial activity of cities. Furthermore, the governance effect of government audit is more evident in samples of eastern regions, smaller cities, and high government innovation preference. The conclusion confirms that high quality audit supervision can effectively ensure high-quality economic and social development, effectively transform institutional advantages into governance efficiency, and optimize the urban entrepreneurial environment and increase urban entrepreneurial activity.