The financial market system is related to the efficient implementation of the One Belt and One Road Initiative in ethnic minority regions of China. Through an investigation of the construction of the financial market system in Xinjiang Uygur Autonomous Region,it is found that although the financial market system in ethnic minority regions of China is developing rapidly,it still lags far behind the national average with the following problems: the existence of a dual financial structure with unbalanced financial supply and demand,a poor financial eco-environment,a weak industrial demand,a lack of financial vitality,and insufficient policy effectiveness. Thus,this paper suggests building a good financial eco-environment,promoting positive interaction between industrial development and financial development as well as other measure to promote the construction of a good financial market system in ethnic minority regions of China.