The rapid development of shadow banking and its high-risk problems have got highly concerned from the supervision departments, and they have been supervised from various external aspects. The purpose of this study is to examine whether the administrative supervision can reduce the risk preference of shadow banking effectively from two aspects such as the “Document No.107” of the State Council and national audit. This study quantifies the effect of “Document No. 107” and national audit by the non-observed-effect panel data model and the PSM—DID. The results show that “Document No.107” and national audit can regulate shadow banking significantly by controlling other factors, which is reflected by the fact that the decreasing of shadow banking’s scale and the improvement in risk structure can significantly reduce the risk preference of shadow banking. Since administrative supervision and national audit have different supervisory means and functional mechanisms, the cooperation and complementation between them must be necessary in the future during the regulation of shadow banking. Finally, this paper puts forward corresponding policy recommendations based on financial stability objectives.