Abstract: The study used daily data from January 4, 2006 to July 31, 2014 and applied a vector auto-regression model(VAR), non-linear test, linear and nonlinear Granger causality test. It aimed to study the relationship between crude oil price and six basic industries of China which are electricity and utilities, steel, machinery, fundamental chemicals, coal, petroleum and petrochemicals. From empirical analysis, we have the following four main conclusions. Firstly, there is a significant two-way linear Granger causality between oil price returns and steel, coal, petroleum and petrochemicals. Secondly, machinery, fundamental chemical industries have unidirectional effect on crude oil returns in linear Granger causality test. Thirdly, there is no linear Granger causality between oil price return and electricity & utilities. Finally, there is a remarkable two-way non-linear Granger causality between oil price return and six basic industries.