With the foundation of China (Shanghai) Free Trade Zone, China’s reform also enters a new stage. Under the era of global financial crisis, strong and efficient financial services supervision is in urgent need. Through analyzing the supervision situation in Shanghai FTZ, also the global financial supervision model reform since financial crisis, financial regulation in Shanghai free trade zone should be based on protecting the interests of the investors and the public. Supervision should consider the balance of cost and effect, and its target should not be too complicated.