Based on the regular adjustment of the CSI500 Index, this paper uses the fuzzy regression discontinuity design method to explore the impact of stock index adjustments on corporate external financing behavior, leverage ratios, and its transmission mechanisms, while also testing the heterogeneity of macroeconomic uncertainty and corporate characteristic factors. The study finds that becoming a member of a stock index increases corporate equity financing and debt financing, but the increase in debt financing is greater than in equity financing, which causes an increase in the corporate leverage ratio. Becoming a member of a stock index mainly influences external financing behavior and the corporate leverage ratio by improving internal governance and improving external financing environment. Becoming a member of a stock index will significantly increase corporate external financing and leverage ratios in high economic policy uncertainties, bull markets, high growth companies, non-state-owned companies, and those with less analyst coverage. This paper confirms that stock index adjustments have information transmission effects. They should improve corporate governance and information environment to ease corporate financing constraints, increase corporate external financing opportunities, and finally adjust corporate leverage ratio.