The relationship between the financing structure and financing cost was studied, which of 138 small and medium-sized listed companies in 2012~2015. The study finds that: the influence on the cost of debt for financing structure is positively U; the further study that distinguishes between different traits finds that the higher the level of debt, the lower debt financing cost; according to the classification of the length of the period, the higher the level of short-term borrowing, the lower debt financing cost, and this phenomenon is more significant in the better financial ecological environment. By studying the impact of financing structure on the cost of financing, it can help small and medium-sized enterprises reduce financing costs more effectively and develop fast.