This paper empirically analyzes the support effect and different influence of the micro-finance on small micro-enterprise development by the VAR model，the granger causality test，impulse response function and variance decomposition methods. The empirical results found that the micro-finance has a limited and lag support effect on the micro-enterprise’s development. In comparison，direct financing market has a significant support effect on the development of small micro-enterprise，but indirect financing market is far from meeting the requirements of the development of small micro-enterprise. Therefore，to further broaden the small micro-enterprise financing channels for small micro-enterprise，we should continue to strengthen the indirect financing market’s support effect for small micro enterprise development and guide the different financial institutions in micro-finance service to position reasonably，while make every effort to develop the direct financing market in order to better serve the development of small micro-enterprise.