This paper has integrated the three models of DEA, which are CCR,BCC and FG models, to analyze the scale efficiency and returns to scale of industry of electric power, gas and water production and supply in china from 1995 to 2006. we found the scale is efficient at the years of 2001, 2002, 2003, 2006, modest inefficient at 2004 and 2005.we also found if the scale is inefficient, returns to scale of industry is increasing, which implied the industry should increase input to improve efficiency at the years from 1995 to 2000.