Based on the practical requirements of promoting the efficiency reform of local governments, the spatial Tobit Durbin model was constructed to test the impact of national audit on the governance efficiency and spatial spillover of local governments by using panel data of 30 provinces and autonomous regions in China from 2008 to 2017. The results show that audit has a significant positive impact on the efficiency and spillover of government governance, and the impact has regional heterogeneity: In the eastern region, audit has a positive effect on efficiency and a negative effect on spillover. In the western region, the effect of audit on efficiency and spillover is significantly positive. The audit in the central region only has significant influence on spillover but not on efficiency. Further research shows that the factor market has a moderating effect, and the better the environment, the stronger the promotion effect of audit on efficiency and spillover. Therefore, strengthening the political attribute of audit supervision, strengthening the audit synergy governance, establishing and perfecting the unified, open, competitive and orderly factor market, stimulating the “learning effect” between jurisdictions, and restraining the “siphon effect” are important ways to promote the improvement of the efficiency of cross-domain government governance.