This paper aims to take corporate governance as an intermediary variable to explore the impact mechanism of capital market opening on enterprise technological innovation. Based on the unbalanced panel data of Shanghai Stock Exchange A-share listed manufacturing companies from 2012 to 2020, the paper uses multi-time-point PSM-DID estimation method to study the impact of capital market opening on technological innovation of manufacturing enterprises and the mediating effect of corporate governance. The results show that: (1) The Shanghai-Hong Kong Stock Connect system can significantly increase the R&D and innovation investment of manufacturing enterprises. (2) The implementation of Shanghai-Hong Kong Stock Connect policy refines corporate governance, specifically reduces the first and second types of agency costs in corporate governance, and thereby promotes technological innovation of enterprises. (3) The Shanghai-Hong Kong Stock Connect system has a more significant role in promoting R&D investment of high-tech manufacturing enterprises. Therefore, the paper proposes that the government should strengthen the infrastructure construction of the capital market, improve the rules and regulatory system, and the enterprises should also improve the level of corporate governance and increase the investment in innovation.