The substantial increase in total factor productivity is the core indicator of new quality productive forces. Financial openness, as an important part of China’s high-level opening up to the outside world, plays a crucial role in accelerating the formation of new quality productive forces and promoting the high-quality development of the economy. In this context, whether the increase in the level of financial openness can promote the improvement of total factor productivity and contribute to the high-quality development of the economy is a key question that needs to be answered urgently. Based on the panel data of 4010 enterprises from the A-share listed companies database of China’s Shanghai and Shenzhen stock markets from 2011 to 2023, this paper empirically examines the impact and mechanism of financial openness on the total factor productivity of enterprises. The results show that financial openness can significantly enhance the total factor productivity of enterprises. The mechanism test indicates that financial openness drives the improvement of total factor productivity of enterprises through alleviating financing constraints and improving the level of technological innovation. Heterogeneity analysis shows that the promotion effect of financial openness on the total factor productivity of enterprises with high absorption capacity and large scale, as well as those in highly competitive markets, areas with low resource misallocation and high financial development levels, is more significant. Moreover, the promoting effect of financial openness on total factor productivity varies at different stages of the economic cycle, weakening in recession periods and strengthening in recovery periods. Compared with previous literature, the main contributions of this paper are: First, it helps to enrich the literature on the microeconomic consequences of financial openness. By using enterprise-level data in China to study the impact mechanism of financial openness on the total factor productivity of enterprises, this paper enriches the related research on financial openness and economic development, as well as financial markets and productivity growth by Larrain et al. (2017) and Yang Shenggang et al. (2022). Second, in terms of research content, this paper considers the heterogeneous effects at both the enterprise level and the external environment level, providing micro empirical evidence for China’s financial openness to support the development of the real economy. In addition, in terms of indicator measurement, this paper uses the level of financial openness obtained by multi-variable dimension reduction and the total factor productivity calculated in multiple ways (including the OP method, LP method, and ACF method), which effectively alleviates the endogeneity problem caused by the mutual causality between financial openness and total factor productivity, making the research conclusions more credible. This paper reveals to some extent the internal logic of how financial openness affects the total factor productivity of enterprises, which helps to understand the micro mechanism of how financial openness affects the efficiency of the real economy, emphasizes the role of alleviating financing constraints and improving the level of technological innovation, and considers the impact of enterprise characteristics and external environmental factors on the positive effects of financial openness, providing theoretical and policy insights for promoting high-level financial openness and improving the quality and efficiency of economic development.