The capital market is a typical information market，credit market and confidence market. In recent years，China’s capital market has developed rapidly，and the stock market and bond market have ranked second in the world. Significant progress has been made in the construction of the credit system of the capital market. The credit system of the capital market has been initially established. The credit market integrity database has been established. The mechanism of trustworthiness and disciplinary action has been formed. A sample of credit construction has been built in the science and technology sector. The current problems in the construction of the credit system of the capital market are mainly due to the high default of the bond market，the risk of equity pledge in the stock market，the non-compliance of the financing subject，the unfair behavior of investors，and the performance of the capital market intermediaries. The main factors affecting the credit market construction of the capital market involve the value of the financing entity，the enforcement of the regulatory body，and the imperfect investor protection mechanism. It is suggested that the role of capital market participants should be scientifically positioned to increase the cost of untrustworthy illegality，strengthen the construction of information disclosure mechanism，enhance the efficiency of supervision and improve the protection mechanism of investment interests to promote credit market construction.