In recent years, it is common in China’s capital market for major shareholders to participate in equity pledges. For external investors, how to effectively identify the risks of companies involved in equity pledges has become a key issue when making decisions. This paper takes the listed companies of China’s A-share which equity pledge led by securities firms from 2014 to 2019 as the research sample to analyze the influence exerted by equity pledge of affiliated securities firms on the investment behavior of mutual funds. We found that mutual funds invest more in companies in which affiliated securities firms participate in equity pledges, and their investment performance is better. The result shows that mutual fund will obtain pledged information about the subject matter, thus having investment information superiority. Further research shows that the promotion effect of affiliated securities firms on mutual fund investment is more significant in the high pledge intensity group and the high relevance group. The above findings are conducive to understanding the positive role of securities firms in defusing the risk of equity pledges companies, and have a certain enlightenment for further improving the equity pledge market mechanism.