In the process of industrial structure evolution and financial ecology formation in Jiangsu province, the system of informal finance forms gradually and becomes complicated day by day. As complement to formal finance, informal finance promotes the development of real economy of Jiangsu province, while the risk sprung from its complicated internal operating mechanism poses a potential threat to the steady operation of real economy. On the basis of analyzing the connation and extension of informal finance, this paper deeply researches into the forming mechanism of the risk of informal finance by analyzing the current situation of informal finance in Jiangsu province. Therefore, this paper proposes that the government should gradually standardize the system of informal finance in Jiangsu province, build a preventive and warning mechanism of risk of informal finance, and perfect the risk relief mechanism to promote the deep combination of informal finance and real economy and increase the efficiency of informal finance to support economy development.