It is an important basis for realizing the financial integration strategy of the Yangtze River Delta to furtherly break the regional administrative boundary barriers. This paper studies the dynamic trends, spatial distribution and development priorities of the border effect of the financial market in the Yangtze River Delta based on the new perspective of corporate debt financing costs. The study found that: (1) Most of the interprovincial and intercity boundary barriers of the cities in the Yangtze River Delta are still increasing, and the integration process of financial markets is relatively lagging; (2) The boundary barriers of cities are generally centered on Shanghai. The closer to Shanghai a city is, the smaller the boundary effect between them; (3) The intercity boundary barriers of cities in the province are much smaller than their corresponding interprovincial boundary barriers. Therefore, the integration of the financial market in the Yangtze River Delta is focused on the issue of interprovincial border barriers, but it can fully authorize the coordinated promotion at the city level. To break through the interregional administrative border barriers, attempts can be made to build Yangtze River Delta’s regional financial institutions such as the Joint Development Bank, Joint Credit Platform.