based on the status quo of the internationalization of China's capital market as the background, based on the Shenzhen regional advantages and policy advantages, discusses the background, content and implementation path of internationalization of the capital market in Shenzhen. The paper proposes that Shenzhen should focus on seize the Shenzhen Hong Kong fusion and along the way of the strategic opportunity, grasp the exchange business development lead characteristics, active business through innovation driven capital under the open, progressive the final goal to achieve a comprehensive open.