Based on the financial industry and industrial structure data of Anhui province in 2005~2016, this paper uses the location entropy index to measure the level of financial agglomeration, and empirically tests on the impact of industrial financial agglomeration on industrial structure upgrading in Anhui province. The results indicate that, in the long term, the agglomeration of the banking industry is beneficial, though the securities agglomeration plays a positive role as well, it is not very powerful, and the insurance agglomeration turns out to be inhibitory. In the short term, banking industry and securities industry agglomeration also promote the upgrading, but they are not effective enough compared with the long-term effects, and the insurance industry is still inhibitory.