This paper uses the three-stage data envelopment analysis model and K-means clustering method, analyzes the panel data of the Chinese financial input and scientific and technological output from 2006 to 2013 in 30 provinces and municipalities, calculates the efficiency of Chinese finance support to science and technology innovation based on the control of external environment, and divides the efficiency into three levels such as high level, middle level and low level respectively. Research shows that the external environment has an obvious impact on the financial resources for scientific and technological innovation of China. After we reject environmental factors, the efficiency of all kinds of provinces and municipalities is declining differently, the degeneration of scale efficiency is the main reason. According to the result of clustering analysis, the efficiency stays in middle and high level in east part of China, stays in middle level in middle part of China and stays in low level in west part of China. The efficiency of Chinese finance supporting scientific and technological innovation can be raised by relative measures according to self situation of each province and municipality, and by setting up multiple-channel and multiple-layer financial market system.