This paper conducts “club convergence” test on three regions, calculates convergence speed and analyzes the factors affecting energy efficiency change by selecting 14 indicators, by dividing 28 regions into three groups through clustering analysis and by using crossprovincial panel data during 19852010, and the results show that China’s energy efficiency does not have σ convergence, but there is “club convergence” in the three regions, that the convergence rate of regionⅠis fastest, that the convergence rate of region Ⅲ is slowest, that three variables such as economic development level, highway business distance and marketization play a positively boosting role in energy efficiency improvement, however, the energy endowment, population size, human capital, industrialization, openness, urbanization, the relationship between government and market as well as employment structure play an inhibiting role. Therefore, the government should increase its support to low efficiency regions, speed up infrastructure construction, improve the marketization level, control the agglomeration of population to large cities, especially control the development of high energyconsuming industries, adjust the industrial structure mainly based on heavy and chemical industries, and improve the energy efficiency in backward areas.