Abstract: The Chinese macroeconomic fluctuations from 2006 to 2008 provide good natural experiments for empirical capital structure research. Based on the sensitivity of industries and the macroeconomic， the paper divides the Shanghai and Shenzhen Exchange 712 listed company samples over the period into defensive industries and cyclical industries. It examines the relation between the macroeconomic fluctuations and the capital structure choice of cyclical industries. The evidences show that cyclical industry debt decreases significantly as the macroeconomic changes from expansion to recession. In the new capitals， the amount of the equity and debt has declined compared with before， but the new equity falls more. The debt proportion increases. The findings in the natural experiment such as some of the firms’characteristics are consistent with the prior empirical capital structure research， so is the macroeconomic condition as an important determinant.