Under the new development pattern, the high-quality development of the financial market cannot ignore the influence of external factors. The existing literature is not comprehensive enough to study the impact of the monetary policy adjustment of the Federal Reserve on China’s financial market, especially the comparative analysis between the zero lower bound period and the normalization period. This paper argues that the tightening monetary policy implemented by the Federal Reserve will narrow the interest rate gap between China and the United States, promote capital outflow from China, and lead to an increase in real interest rates and corporate financing costs, which in turn will bring asset prices down and have a negative impact on China’s financial market. After the global financial crisis in 2008 and the COVID-19 pandemic started in 2020, the Federal Reserve kept cutting the federal funds rate, the Federal Reserve has continuously lowered the federal funds rate, making it face the constraint of the zero lower bound of interest rates. The impact of the tightening monetary policy on China’s financial market may be different from that in the normal period. Based on monthly data of 98 variables in China’s macroeconomics and finance from January 2002 to July 2021, the Wu-Xia Shadow Federal Funds Rate is used to measure the monetary policy stance of the Federal Reserve during the zero lower bound period, and the Factor-Augmented Vector Autoregressive (FAVAR) model is used to analyze the impact of the Federal Reserve’s tightening monetary policy shock on China’s financial market from the perspective of asset prices. The results show that on the whole, the impact of the Federal Reserve’s tightening monetary policy will have a negative impact on China’s asset prices through the interest rate channel, and the negative impact has a time lag; the adjustment of the RMB exchange rate has a compensatory effect, that is, it can reduce the pressure of capital outflow through the devaluation of the RMB, thereby weakening the negative impact of the Federal Reserve’s tightening monetary policy on China’s asset prices; during the zero lower bound period, the impact of the Federal Reserve’s tightening monetary policy on China’s asset prices is more significant than that in the period of normalization. Compared with the existing literature, this paper mainly makes the following improvements and expansions. Firstly, the Wu-Xia Shadow Federal Funds Rate is used to measure the monetary policy stance of the Federal Reserve during the zero lower bound period to avoid underestimating its negative impact due to the adoption of the federal funds rate. Secondly, the FAVAR model is used to alleviate the omitted variable bias of the VAR model and the TVP-VAR model, and provide sufficient information for identifying structural shocks. Thirdly, a comparative analysis between the zero lower bound period and the normalization period is conducive to better grasping the time-varying impact of the Federal Reserve’s monetary policy shock on China’s financial market. In order to better deal with the negative impact of the Federal Reserve’s tightening monetary policy on China’s financial market and macroeconomy, it is necessary to deeply analyze and grasp the reasons and essence of the change in the trend of the Federal Reserve’s monetary policy. While adhering to the principle of “self-centered” monetary policy, we will pay close attention to and be alert to the possible negative impact of the Federal Reserve’s tightening monetary policy, and continue to deepen the reform of the RMB exchange rate to ensure that the RMB exchange rate is appropriately flexible and has sufficient room for adjustment.