Market segmentation and innovation policy are both the realistic background and soft environment of regional technological innovation. It is of great significance to study the mechanism and law of their impact on innovation and their interaction. Based on China’s provincial high-tech industry data, this paper uses panel data model, Bayesian vector autoregressive model and panel threshold model to study the relationship among market segmentation, innovation policy and innovation achievements. The results show that: the impact of market segmentation on innovation is not relatedtotally, but negative in the long term; market segmentation is conducive to innovation in low innovation level areas; the performance of innovation policy is the best when the innovation policy is medium; the performance of innovation policy is better in high innovation level areas; market segmentation and innovation policy coordinate better in the short term; market segmentation is conducive to the increase of innovation policy; although the long-term effect of market segmentation is negative, it has a positive effect in the short term.