By using the method of grey relation analysis，this paper makes an empirical analysis on the correlation between energy consumption and economic growth in different stages of industrial structure adjustment in Shanxi Province. The results show that there are significant differences in the correlation between energy consumption and economic growth in different stages and industries of Shanxi industrial restructuring. Among them，the energy consumption of the secondary industry such as industry and construction industry is higher，and the energy consumption of the transportation，warehousing，postal industry，wholesale，retail，accommodation and catering industry in the tertiary industry is lower and the economic contribution rate is high. Based on the research conclusion of energy consumption and economic growth in different stages and industries in Shanxi Province，the corresponding policy suggestions are given.