The upgrading of residents’ consumption structure is an important driving force for the continuous expansion of consumption demand and high-quality economic development. Based on the eight categories of consumption expenditure data of urban and rural residents from 1981 to 2018, this paper constructs and applies the nonlinear MS (m) - AR (p) model to study the nonlinear convergence evolution characteristics and path of consumption structure of urban and rural residents. The results show that the convergence evolution process of the overall consumption structure and specific expenditure of urban and rural residents includes three nonlinear convergence evolution paths. The contribution of high-level consumption projects such as transportation, communication and medical care to the convergence of consumption structure of urban and rural residents is gradually strengthened, and factors such as residents’ consumption tendency and income level have an important impact on the formation of convergence. We need to promote the upgrading and convergence of the consumption structure of urban and rural residents by improving and narrowing the income gap, stimulate the potential of the consumption market, and give full play to the role of consumption in improving the quality of residents’ life and economic growth.