Issuing inquiry letters about annual reports of the listed companies is an important means of non-penalty regulation which is conducted by the China’s Stock Exchanges. Using the 2015—2017 A-share listed companies as samples and with the method of mediation effect, we find that the inquiry letters about annual reports issued by the stock exchanges significantly reduce the radicality of the audit report and enhance audit quality. Meanwhile this enhancing effect is not affected by whether the audit office is referred to or not in the inquiry letters. We further find that the inquiry letters enhance the audit quality through information effect and supervision effect, but the supervisory effect dominates.