Bonds yields fluctuations have an importantimpact on the efficiency of a country 's financial marketresources allocation, and even the stability of financialmarkets. Based on the data from 2002 to 2014 of the bondsmarket in China and in the United States, this paper carriesout the comparative study of bond yields in China and in theUnited States from the perspectives of treasury bond yieldscurve, yields fluctuations and influential factors. Theresults show that the exchange market and interbank marketyields on treasure bonds form, yields fluctuations of Chinaand the United States have their respective characteristics;Yields of China and the United States for the dollar indexchange of the reaction are not the same. With theappreciation of the dollars, China and the United Statestreasury bonds yields show a certain degree of convergence,while with the depreciation of the Dollars, China and theUnited States treasury bond yields shows a certain degree ofdeviation; China and the United States treasury bond yieldshave the same reaction to the price index changes, whichhas a positive relationship with the domestic price index.On the basis of the analysis, the paper makes the followingpolicy suggestions to perfect the development of China’streasury bond market: enriching treasury bond tradingvarieties, improving the trading mechanism and bring intoplay the fund function of treasury bond market.