‘One Belt, One Road (OBOR)’ is the important strategy of current Chinese export-oriented economy development. Financial support played an important role in OBOR, and the various levels of the financial system also play their role. This paper argues that, policy finance is foundation and pioneer, Internet finance is opportunity and innovation, healthy and sustainable capital market is stable and dividends, the insurance mechanism is guarantee and escort, the establishment of the ‘Asian Infrastructure Investment Bank’ is guarantee and leverage, and the establishment of ‘Silk Road Fund’ is first show and guide. The six financial support is indispensable, should support each other, guarantee each other and boost each other in order to realize holistic support effect of 1+1+1+1+1+1>6.