As an important part of the national economy, finance plays a leading role in the configuration of the daily production life of urban and rural enterprises and residents. In order to promote the further development of China’s rural economy, deepen rural financial reform, and seek the formation mechanism and countermeasures of China’s rural financial vulnerability, this paper proposes a research method based on Markov model for analyzing the formation mechanism and countermeasures of China’s rural financial vulnerability. The results of the study show that the method effectively reveals an overall decreasing trend of rural financial vulnerability in China in recent years. In response, more reasonable rural financial institutions should be established to optimize the rural industrial structure and improve the ability to prevent rural financial risks, while conducting dynamic organizational management to ensure that the organizational structure and organizational management of rural finance must be compatible with the coordinated development of the rural economy and finance.