The need for both an “efficient market” and an “effective government” is a major contribution of Xi Jinping’s thought on economic to Marxist political economy and it is also the strength of the system of Socialism with Chinese characteristics and the Chinese path to modernization. In the new era and new stage, it is necessary to further understand and grasp the internal logic and operating mechanism of “efficient market + effective government” from a theoretical and practical perspective. This article discusses the relationship between the government and the market on the basis of dialectics and dichotomy. The market is the object of economic operation, and the behavior of microeconomic subjects is determined through the competition mechanism of price signals. Since the interests of each micro-subject are maximized, resource allocation under this mechanism is efficient. As the main body of economic management, the government affects price signals and market competition through regulatory policies. This mechanism guides the allocation of resources with the goal of maximizing social benefits, which has a certain degree of fairness. Furthermore, the government and the market form a symbiotic and win-win relationship, resulting in a new form of “the market having the role of the government, and the government having the market logic”, moving towards the goal of common prosperity. This is the internal mechanism of “efficient market + effective government”. Therefore, properly handling the relationship between the government and the market is the key to realizing “efficient market + effective government”. The presence of the government in the conditions, processes and outcomes of economic development with the market logic is the core of the functioning of “efficient market + effective government”. This requires the government to correctly understand and grasp the way of getting along with the market in practice. Local governments directly face the market and enterprises, which requires them to actively explore and grasp the way of getting along with the market. The relationship between local governments and efficient markets should follow the underlying logic of the efficient market and the top-level rules of the central government. There are four main aspects. In the industrial field, local governments should actively guide the development of regional industries, and provide technological support and risk-controllable investment support for the high-quality development of industries. In the field of regional harmonious development, with the goal of regional integration, local governments should cultivate and use the increasing regional comparative advantages, which are changing from “stock” to “flow” and then to “increment”. In the field of investment, local governments should transform from “material-oriented” to “people-oriented”, from “project-determined investment” to “need-determined investment”, and from “profit maximization” to “risk minimization” to form effective mechanisms for investment. In the field of improving the development environment, local governments should focus on improving the policy environment, business-friendly environment, talent environment, and cultural environment.