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The current financial supervision model of China is isolated supervision, and each financial supervision institution has its own financial supervision information system, which may lead to many problems like lacking comprehensive data, lacking unified platform and so on. A good way to solve these problems is to establish the financial supervision information system based on SOA. Web service is the best way to implement this financial supervision information systems based on SOA. The architecture of this financial supervision information system has four layers, application layer, ESB layer, service layer, and presentation layer. This system integrates the already existing systems. It has a lot of advantages over the old one. This system can be implemented by any programming language and various implementation platforms. Budget and security should be paid attention special, which may lead to the failure of this project. Lacking talent is also a problem which may lead to the failure to implement this project.