The correlation analysis and grey system theory are employed to systematically study the quantitative relationship between industrial structure and water consumption. The following conclusions are drawn: (1) Under the constraint of water resources, the development of the secondary industry should be actively and steadily promoted, and the heavy industry structure with high water consumption based on energy industries should be eliminated and optimized. (2) The tertiary industry should be vigorously developed. (3) The adjustment of agricultural structure and the restriction or suitable reduction of the development scale of the primary industry are the direction of the coordinated development of industrial structure and water resources in Shanxi Province.