Finance is the leader of economic development, and a good financial, ecological environment can promote and develop together with the development of the regional financial industry. 16 cities of Anhui province are selected as the research object, which includes the economic base, financial development, cultural and legal environment, administrative environment, and social security of the four dimensions. 18 indicators are selected to establish a financial, ecological environment level evaluation index system, which is used the entropy method and K-means clustering algorithm. It is further analyzed and evaluated the financial, ecological environment. The empirical results are shown that there are substantial regional differences in financial ecology level in Anhui Province. Moreover, the existing problems are analyzed according to the conclusions. Several suggestions are provided to develop financial infrastructure construction, which promotes industrial development and improves the literacy of financial consumers.