In this paper, based on WuZhiWen's 2002 construction method on comprehensive index of financial fragility, respectively from the fragility of the financial market subsystem, the fragility of the banking subsystem, the fragility of the financial supervision subsystem and the fragility of the macro-economic environment subsystem, to measure the degree of China's financial fragility during the period of 1997 to 2016. Then taking the four subsystem indicators and comprehensive indicators into the Wurgler's 2000 model of capital allocation efficiency. The result shows that, firstly, China's financial fragility generally declined in 1997 to 2016, and the fragility of the financial supervision subsystem was the highest. Secondly, the financial fragility has an inhibitory effect on the capital allocation of China's real economic capital, which the financial supervision subsystem has a particularly obvious suppression on it.