PBL teaching method is a problem‐oriented teaching method and a student‐centered education model. This paper studies the application of PBL in the teaching of Entrepreneurial Road Show and Financing Management course, analyzes the basic ideas, implementation process, problems encountered in the application of the teaching method, the benefits to students and teachers, and the reform of traditional teaching mode. PBL is not only a teaching tool, but also a philosophical idea that encourages students to think deeply and apply what they have learned to real‐world problems. Study shows that the application of PBL teaching method is conducive to improving students' interest in the course and cultivating students' comprehensive abilities such as autonomy, teamwork, communication and problem solving.