On the basis of combing the evolution of China’s pumped storage electricity price policy, in response to the development direction of the Guizhou’s electricity market, this paper designs the electricity price formation mechanism for the pumped storage power station in the Wujiang River Basin of Guizhou under different electricity market environments. The power price and capacity price in the electricity market environment before and after the formation of the electricity spot market are calculated. The results show that in the imperfect electricity market environment, the on-grid electricity price of the power station is 0.351 5 Yuan/(kW·h), the pumped water electricity price is 0.263 6 Yuan/(kW·h), and the capacity electricity price is 668.50 to 771.70 Yuan/(kW·a). In a relatively perfect electricity market environment, the peak-valley electricity price difference is 0.331 to 0.504 Yuan/(kW·h),and the site capacity electricity price is 586.17 to 689.37 Yuan/(kW·a). It can be seen that it is reasonable and effective to strictly implement the two-part electricity price without forming a spot market at this stage. The future spot market will be characterized by electricity prices generated through market competition.