Local financial supervision is a hot issue in the reform of China's financial supervision system. This paper studies the theoretical basis, practical changes, the situation changes, current problems, reform directions and policy recommendations of local financial supervision. The study finds that local financial supervision should return to the rationality of "supervision" from the perspective of basic logic, international experience and institutional change. Because local financial supervision is facing new challenges of financial science and technology, new financial risks, new regulatory adjustment patterns and new tasks of risk disposal, there is lagging behind in the construction of regulatory rule of law such as backward regulatory infrastructure, obsolete regulatory idea and approach, and insufficient regulatory decentralization and coordination. It is necessary to redefine the direction and path of local financial supervision reform from the four aspects of finance and entity, government and market, central and local government, regulation and innovation on such five levels as system, technology, organization, method and coordination. Thus, China should follow the law and the directions of local financial development and reform, speed up the legal process of local financial supervision, improve the infrastructure of local financial supervision, change the conceptual mode of local financial supervision and establish a synergistic mechanism of local financial supervision.