The media industry has become a new growth point in China’s economic development since the 21st century. However, due to the imperfections of China’s media capital market and other problems, the media industry faces financing constraints. The media industry in China is facing financing constraints as a result of the domestic media capital market’s imperfections and other issues. To compare the financing efficiency difference between domestic and U.S.-listed media companies, this paper selects 34 domestic and 16 U.S.-listed media companies as research samples. The three-stage DEA model is used to empirically analyse the samples. The results show that the financing efficiency of U.S.-listed media companies is higher than that of domestic listed media companies. The paper also looks at how to improve the financing efficiency of domestic listed media companies from both the external market environment and the internal operation level. From the viewpoint of the external market environment and internal operating levels of enterprises, the study proposes relevant countermeasures to improve the financing efficiency of domestic listed media companies.