The energy price mechanism has not been market-oriented in China, leading to energy price differences in domestic and international market, which forms relative energy price between China and abroad. Firstly this paper uses the non-competitive input-output method to calculate the energy consumption of various export industries and divides the industries into high, medium and low energy consumption industries by the energy consumption density, further more adopts the time-frequency analysis method to analyze the differential effect of relative energy price on the export from high, medium and low energy consumption industries at both time and scale angles. According to the empirical results, the relative energy price is beneficial to the short and medium term export of high, medium andlow energy consumption industries，but the effect shows a decreasing trend from high to low energy consumption industry; meanwhile, the growth of export from medium and high energy consumption industries contributes to the reduction of relative energy price in the long term. In order to alleviate the energy problem and promote the export trade at the same time, the government should reform domestic energy price mechanism and adopt targeted method to guide the export development of different energy consumption industries.