This paper builds an extended AD-AS model with firms, households and banks, and then obtains the estimation equation of target capital structures. Using the ratio of financial profit to total profit as the proxy of financialization, this paper examines the roles of financialization in capital structure adjustment with the semi-annual data of nonfinancial listed firms during 2007 and 2015. The empirical results show that, financialization exacerbates capital structure deviation and decreases the speed of dynamic adjustment, and their relationships are stronger in firms with private ownership, smaller size and over-debt. Financialization significantly discourages fixed asset investments. Moreover, changes in investment preferences and decrease in collateral capacity are conducive to understanding the negative roles of financialization in the dynamic adjustment of capital structures. Financialization increases firms' dependence on high financial leverage to make profits and enlarges the deviation of their actual capital structures from the target. Our findings suggest that financialization increases the difficulty of lowering firm's leverage in the process of structural supply-side reform.