The debt crisis of local governments has become an important factor to curb the development of China’s local economy, which is mainly caused by credit risk. Therefore, determining the credit price gap of municipal bonds may effectively establish the management mechanism of municipal bond credit risk. Based on the study of the literature related to the factors that have impact on the credit price gap of bonds, the paper uses the multiple regression model to make an empirical study of the factors that have impact on the credit price gap of municipal bonds. The results show that the changes of the macroeconomic warning index, the stock trading volume, the change of the credit spreads do not have significant impact on credit price gap of municipal bonds; the Keqiang index, consumer price index, RMB exchange rate, Shanghai interbank lending rate, the 20year state bond return rate, broad money supply and the return rate of the bank’s financial products may lead to the change of credit price gap of municipal bonds.