How to promote the improvement of state owned enterprise governance and achieve high quality development is an urgent problem for current state owned enterprise audits. Based on the announcement of the audit results of the central government’s financial revenue and expenditure announced by the National Audit Office in 2010—2018, this paper empirically tests the impact and mechanism of the national audit on the total factor productivity (TFP) of the listed companies in the central enterprises by the double difference model. The research finds that national audit can improve the TFP of listed companies in central enterprises, which is mainly reflected in the year being audited and the following two years, and the effect can be achieved mainly by expanding the coverage of state audit supervision, expanding the depth of state audit objectives and strengthening the exercise of state audit authority. Further study finds that the national audit can improve corporate governance and improve TFP by promoting the growth of R&D investment, improving the quality of internal control, inhibiting the over employment of executives, and alleviating the first class agency problems. The research conclusions have certain enlightenment for optimizing the auditing governance mechanism of state owned enterprises, improving the TFP, and promoting the high quality development of the economy.