This article samples 293 listed companies on GEM (Growth Enterprise Market) of Shenzhen Stock Exchange, uses SPSS 17.0 to analyze their annual report data from 2009 to 2011. The results show that corporate performance will increase and then decrease along with the improvement of debt asset ratio, and achieve optimized performance at about 50%-60% of DAR (debt asset ratio); short-term borrowings have significant negative effects on corporate performance, bank debt, commercial credit and long-term borrowings have indistinctive positive effects on corporate performance, and other debt have marked positive effects on corporate performance. This research is helpful for governmental macro-control and SMEs themselves to build reasonable capital structure to improve their corporate performance.