As a credit derivative, credit risk mitigation warrant should have the function to reduce the debt financing cost. Under the background of incomplete debt contract, credit risk mitigation warrant can reduce the debt financing cost by enhancing the negotiation status of the creditors, restricting the opportunism behaviors of the debtors and so on. By using the inter-bank bond market data from January, 2018 to November, 2019, this paper takes China’s reinitiating the issuing of credit risk mitigation warrant as quasi-natural experiment, uses fixed effect model, difference in difference method, parallel test, dynamic effect analysis, placebo test and so on to analyze the impact of credit risk mitigation warrant (CRMW) on bond financing cost of private enterprise empirically. The study shows that CRMW can significantly reduce the issuing interest rate and the credit spread of underlying bonds, the higher the bargaining power of the stockholders is, the larger liquidation cost is, the more significant the declining of financing cost is. Further research shows that there exits structural differentiation caused by ownership difference in short-term bond market. The reissuance of CRMWs alleviates the “scissors gap” of bond financing costs between private enterprises and state-owned enterprises, and it supports high-quality private enterprises directionally. Therefore, we should further explore the potential of structured directional adjustment of CRMW and strengthen the supervision and restriction on the issuance agencies to effectively reduce debt financing cost and to avoid risk aggregation.