This article aims to explore the important impact of the establishment of free trade pilot zones on the digital transformation of micro-enterprises in the new era of digital economy. With the aid of China’s 2007-2018 Shanghai and Shenzhen A-share listed companies data and macroeconomic data sets, empirically test the endogenous correlation mechanism between the establishment of free trade pilot zones and enterprise digital transformation. The study found that the establishment of a pilot free trade zone can significantly promote enterprise digital transformation. Furthermore, based on multi-perspective differences in corporate capital, business structure, and digital transformation dimensions, this driving effect shows strong heterogeneity. In-depth research on the transmission path found that the free trade zone can promote market competition and increase marketization at the macro level, improve the quality of internal control of enterprises, stabilize financial conditions, and promote innovation investment at the micro level, which is of great benefit to enterprise digital transformation. In particular, the establishment of different batches of free trade pilot zones also has a differentiated impact on enterprise digital transformation, and the performance of the third batch of inland-led pilot free trade zones still has much room for improvement. It is urgent to strengthen the linkage effect with national strategies such as the “Belt and Road” in practice.