This paper takes 36 companies as sample which are first listed in growth enterprise market, using panel threshold regression to verify the relationship between capital structure and corporate performance. After considering dividends, scale growth, investment diversification, managerial ownership and other factors, the empirical result is consistent with the trade-off theory, that is, there exists optimal capital structure according to listing companies in GEM market. The relationship between capital structure and corporate performance is nonlinear, when liability ratio is below 0.1769, increase the liability ratio can improve corporate performance, and when liability ratio is above 0.1769, increases the liability ratio can reduce corporate performance. As a result, GEM companies should use financial leverage appropriately, in order to realize the goal of corporate value maximization.