After a certain degree of financialization, private enterprises can improve their investment environment and make financial assets serve their own development, which is the reservoir effect of financialization. The financialization of private enterprises may also cause crowding out effect on physical investment. Taking the listed companies of non-financial private enterprises in Shanghai and Shenzhen stock markets as samples, this paper empirically tests the comprehensive impact of financialization on the investment efficiency of private enterprises. It is found that the financialization of private enterprises reduces their investment efficiency and for over invested private enterprises, financialization improves their investment efficiency. In addition, for private enterprises with insufficient investment, industrial investment improves their investment efficiency; and outward foreign direct investment plays an intermediary role in the process of the impact of financialization on the investment efficiency of private enterprises. The government should provide policy support for private enterprises to improve the rate of return on industrial investment, and at the same time, private enterprises should let the financialization serve their main business development, so as to improve their investment efficiency. In the internationalization of private enterprises, we should guard against the negative impact of financialization on private enterprises in the process of export, foreign investment and cross-border mergers and acquisitions.