Macao has the advantages of developing into an international financial center, but starts late in the development of cross-border finance. There is little relevant cross-border financial cooperation. So the cooperation between Macao and Zhuhai can promote the transformation of the region’s industry to specialised financial services. The path of cross-border financial cooperation between Macao and Hengqin can be explored in three aspects: cross-border settlement, financing and investment. In terms of cross-border settlement, Macao and Hengqin can provide intra-city clearing service and strengthen the cooperation between financial institutions. In terms of cross-border financing, Macao and Hengqin can realize the interchange of debt markets and promote cross-border RMB loans from Macao to Hengqin. In terms of cross-border investment, Macao and Hengqin can appropriately relax the restrictions and encourage the development of QFLP funds. At the same time, in order to promote the development of diversified financial industries, Macao can gradually develop the derivatives market by lowering the margin threshold for derivatives and enriching the underlying assets to promote the development of Macao’s derivatives market, which will help Macao gradually get rid of its sole reliance on the gaming industry.