Due to the fact that the upgrading of consumption structure, industrial structure, and housing prices play a crucial role for residents, enterprises, it is of good theoretical and practical significance to study the relationship among the three factors. Therefore, on the basis of the panel data of 31 provinces, cities and autonomous regions in China from 2005 to 2020, by using the PVAR model, an empirical test has been conducted on the interaction between the upgrading of industrial structure, consumption structure and housing prices. The results indicate that except for the eastern region, the upgrading of consumption structure and industrial structure shows a positive correlation of mutual promotion with each other. There is a reverse interactive relationship between housing prices and industrial structure upgrading, with an exception of the western region which exhibits a negative correlation of mutual inhibition. The relationship between housing prices and consumption structure is characterized with a mutually reinforcing interaction in the central region, while there is a reverse interaction in other regions. Therefore, it is suggested to strengthen the positive interaction between consumption structure and industrial structure upgrading, targeted to achieve the interaction between housing prices and industrial structure upgrading, and carefully grasp the complex interaction between housing prices and consumption structure.