In recent years， with the increasing downward pressure of China's macro-economy， whether financial mismatches impact on the heterogeneity of macro-economic downside risk has become a key issue to be concerned about. On the basis of explaining the logic mechanism of macro-economic downside risk caused by financial mismatch scale effect and efficiency effect， and the data from 2005 to 2019， this paper empirically analyzes the heterogeneity of financial mismatch scale effect and efficiency effect on macroeconomic downside risk. The results of the study show that the ownership discrimination in the allocation of financial resources has been effectively alleviated， and the efficiency effect of financial mismatch has been significantly improved with the opening up and the reform of the financial system. However， due to the cumulative feedback of scale effect in the process of risk chain transmission， scale discrimination has become the main channel of macroeconomic downside risk. These results provide useful enlightenment for the formulation of financial policies to support the real economy and the prevention and resolution of macro-economic downside risks.