The participation of foreign shareholders shows the diversified development of China’s economy, which enhances the comprehensive competitiveness of domestic enterprises and affects the debt financing ability of enterprises, so whether foreign shareholding can reduce difference of corporate debt financing cost, this paper empirically tests their relationship. The results show that foreign shareholding can effectively reduce the difference of debt financing cost, the higher the proportion of foreign shareholding, the smaller the difference of debt financing cost, and the effect of foreign shareholders’ shareholding on the positive difference of corporate debt financing cost is more significant than the negative difference of corporate debt financing cost. Further research shows that foreign shareholders have a certain heterogeneous effect, and their number and types show significant differences in the impact on the difference of corporate debt financing costs; Foreign shareholding mainly reduces the difference of debt financing cost by improving the internal governance efficiency and increasing the internal financing ability of enterprises. This paper verifies the governance role of foreign shareholding, and provides a decision-making reference for the listed companies on how to choose foreign shareholders.