Digital platforms are the main organizational form of the digital economy and have the attributes of public goods. As the core technology of digital platforms, algorithms not only promotes the rapid development of digital platforms, but also accompanies many algorithm risks. The practical conflict between the development and regulation of digital platforms and the practical contradiction between digital technology innovation and alienation urgently need to build a sound digital governance system. Algorithm governance is the core subsystem of digital governance, and algorithm audit is an important tool for algorithm governance, which is of great significance for governing the negative externalities of digital platforms and promoting the healthy development of the digital economy. The objective challenges in carrying out algorithm audit on digital platforms include refining algorithm security guidelines and evaluation standards, balancing the relationship between algorithmic commerciality, innovation, and auditability, innovating a multi-level and three-dimensional collaborative governance mechanism, and doing a good job in connecting supervision during the event and accountability after the event. The key approach to carrying out algorithm audit on digital platforms is to clarify the legal status of algorithm audit, formulate practice standards and professional norms for algorithm audit, build a multi-subject collaborative governance mechanism led by national audits, daily supervision of internal audit, and social audit assurance, improve channels for the disclosure of algorithm audit results, and cultivate compound algorithm audit talents. Studying digital platform algorithm auditing is of great value for building China’s independent auditing knowledge system.