This paper uses the dynamic econometric techniques of co-integration test and error correction model (ECM), and variance decomposition to do the empirical analysis about the relationship of the economic growth and the change of industrial structure in Xinjiang province. The result of analysis suggests that the change of industrial structure influences the economic growth apparently, and there is a long-term stable cooperative relationship between them. Besides that, the ECM gives the influence of long-term equilibrium on the short-term fluctuation. So, restructuring the industry and changing the pattern of economic growth must lay emphasis on macroeconomic policies adjustment in Xinjiang province.