In view of DEA model, the financing efficiency of 22 small and medium-sized enterprises (SMEs), which are the representatives of Henan province and listed on the Shenzhen SME boards, was studied. The results showed that the whole financing efficiency of SMEs in Henan as well as in Central Plains was low, and the general problems were that the scale efficiency was higher while the pure technical efficiency was lower. In order to solve these problems, we should take some measures to improve the financing efficiency of SMEs effectively. The enterprise should strengthen self-construction and optimize the external financing environment of SMEs as well as government functions should be improved.