Improving the total factor productivity of enterprises is the driving force for high-quality development, and the reform of the fiscal system below the provincial level will have a significant impact on the total factor productivity of enterprises, which is worth further exploration. This article is based on micro data of Chinese industrial enterprises and regards the reform of “directly managing counties under the jurisdiction of the provincial government” as a quasi natural experiment of the reform of the fiscal system below the provincial level. It examines the impact of the reform of the fiscal system below the provincial level on the total factor productivity of enterprises from the dimensions of enterprise tax burden and resource allocation. The empirical research results indicate that compared to regions that have not implemented the “fiscal province directly governing counties” reform, the total factor productivity of enterprises in regions that have undergone the “fiscal province directly governing counties” reform has significantly decreased. The reason for this is that the negative impact brought by the actual tax burden channel of the reform is greater than the positive impact brought by the resource allocation channel, and the impact is more significant in areas with heavy initial tax burden or high degree of resource mismatch. The article provides corresponding policy implications based on the above conclusions. This article enriches the research on the impact of sub provincial financial system reform on micro enterprises, and has significance for further promoting sub provincial financial system reform and high-quality economic development.