Promoting the deep integration of the digital economy and the real economy is of great practical significance to accelerate the digital transformation of real enterprises and improve their investment efficiency. The impact of the digital economy on the investment efficiency of the real economy is examined by taking A-share listed enterprises from 2011 to 2018 as the research object. The study finds that the development of digital economy and the scale of inefficient investment of real enterprises show an “inverted U” pattern, and the digital economy can improve the investment efficiency of enterprises only after the development transition period, which is mainly manifested as the regulation of excessive investment behavior of enterprises. The impact of digital economy development on the investment efficiency of real enterprises is asymmetric, and the improvement effect is stronger for state-owned enterprises, capital-intensive enterprises and enterprises in the eastern region. The development of digital economy can optimize the production and operation process of enterprises, integrate the advantageous production factor resources between regions, reduce the volatility of enterprise profitability, and promote the improvement of investment efficiency of real enterprises.