The financial market structure is an important variable and the element of a country’s financial development. Optimizing the financial market structure is not only an inevitable requirement for the high-quality development of China’s financial market in the new era, it is also the important content of tamping the modernized economic system in the period of the 14th Five-Year Plan. Optimizing the structure of financial market is a complicated systematic project, which is influenced by many factors, such as financial system arrangement, financial innovation ability, financial openness and financial technology level. To optimize the financial market structure, we should not neglect the mature market experience of USA and other developed countries, so as to promote the optimization and perfection of China’s financial market structure. The optimization path includes enlarging the scale of lagging financial market, improving the allocation of financial market elements, promoting the harmonious development of financial market and strengthening the basic function of financial market.