By constructing the DEA model, combined with the characteristics of rail transit industry, the investment efficiency of twenty-four rail transit listed company which were listed on the Stock Exchange of Shanghai and Shenzhen, was empirically studied. The study was based on the year of 2014 and used the software of deap2.1, the results of the empirical study showed that for mainly influenced by scale efficiency, the whole investment efficiency of rail transit was low, although most of these companies in the returns to scale increasing range; the pure technical efficiency was not high. In order to solve these problems, we should take some measures to improve the investment efficiency of rail transit listed company. At the same time, the company should expand the scale of investment, and also pay attention to strengthen technical innovation.