Abstract: This study was carried out at a time when the automobile industry has become an important pillar industry in China. The financial data from 2011 and 2015 of 54 listed companies in China's automobile industry were studied. After getting the comprehensive index of company performance using factor analysis, the non-linear relationship between capital structure and company performance was closely examined using the panel threshold model. The study comes to the following conclusion:Among the Chinese listed companies in the automobile industry, there is a significant double-threshold effect regarding the impact of capital structure on company performance. At the low debt level, the increase of debt ratio brings a significant increase in performance; at a medium debt level, the increase of debt ratio could still bring about an increase in performance, but a less significant increase; while at a high debt level, the change of company debt ratio will not bring about a significant change in company performance.