Abstract: In order to explore the relationship between energy consumption and industrial structure, an analysis is done based on the datum from 2005-2014 in Anhui province. Firstly, a descriptive statistics is made of the changes in energy consumption and industrial structure. Then, the correlation between the two is analyzed by using the co-integration test, Grange causality test and other methods. Last, the policy recommendations are put forward from the two perspectives of optimizing the industrial structure and scientific guiding of energy consumption. The empirical result shows that the development of the three industrial developments can promote the development of energy consumption, yet only the tertiary industry's energy consumption can conversely affect the adjustment of its industrial structure.