As far as financial supervision is considered, since the China Banking Regulatory Commission issued a policy to design financial products of commercial banks to generate revenue, the policy effect has been a stage of convergence. In this study, the operating process of banking financial products under the supervision environment is divided into two stages(innovative product design and innovative product market performance), and then two-stage DEA (Data Envelopment Analysis) model is used to obtain the innovative efficiency of Chinese banking industry from 2004 to 2014. Results show that the innovative efficiency of banking products in the first stage and the market performance efficiency of financial products in the second stage basically showed a positive correlation. Also, there is a certain lag effect in the impact of financial supervision on the innovation of products from commercial banks. In addition, by calculating the improved input indexes of innovative efficiency over the years in the banking industry, it is found that the difference between the efficient year and the inefficient year. On this basis, some suggestions about the innovation supervision of banking products are offered from the perspective of regulators as well as the operating level of banks. Studies in the future can start with the angle of classification supervision to further investigate the different performance of innovative efficiency by comparing supervision policy of different types of banks made by the China Banking Regulatory Commission.