In order to explore the impact of administrative penalty supervision by banking regulators on audit pricing, this paper takes A-share listed banks in Shanghai and Shenzhen Stock exchanges from 2007 to 2021 as research samples. The result shows that the administrative penalty supervision by banking regulators significantly increases bank audit pricing, and the conclusion remains valid after a series of robustness tests, supporting the spillover effect hypothesis. At the same time, the test of action mechanism shows that administrative penalty supervision improves audit pricing mainly through the path of risk premium. Further analysis shows that the higher the intensity of administrative penalty supervision and the more internal control related problems are found, the higher the audit pricing is. In the following four situations of non-state-owned banks, non-“Big Four” audit, the samples with low internal control quality and high information asymmetry, administrative penalty supervision has significant improvement on audit pricing; The spillover effect of administrative penalty supervision on external audit can promote the two sides to play the synergistic governance function, so as to better restrain the tendency of banks to violate laws and regulations. The research conclusions have important implications for banking regulators and external auditors to strengthen cooperation, steadily promote the strengthening and improvement of modern financial regulation as emphasized in the 20th CPC National Congress Report and the Central Financial Work Conference on the principle of guarding against systemic risk.