It is important to develop Shanghai’s cultural industry using the opportunity of the establishment of China (Shanghai) Pilot Free Trade Zone (CPFTZ). This paper firstly sums up the stage, status quo and problems of Shanghai cultural industry development. Secondly, the opportunities and threats of the establishment of CPFTZ to the development of Shanghai cultural industry are analyzed. Thirdly, "Foreign stones may serve to polish domestic jade", New York, Hong Kong, Singapore and Dubai are selected to analyze the profile of their FTZs and status quo of cultural industry development, and four kinds of basic experience are summed up, cluster development model to New York, free development model to Hong Kong, culture industry development mode, national strategic development model to Singapore, and integration development model to Dubai. Finally, the enlightenment of the international experience to Shanghai is illustrated.