The development of Chinese natural gas has entered "golden age" and plays an important strategic role in ensuring national energy security and achieving the goal of beautiful China. The natural gas industry chain involves upstream exploration and development, mid-stream transportation and storage, downstream sales and utilization. Coordination and consistency is the inherent needs of industrial development. Thus, we establish a natural gas industrial integration development model, which is including cooperation between the upper and lower reaches of the industrial chain, technological and management innovation support. Take Sichuan and Chongqing as practice example, where resources, pipe networks and markets are highly concentrated. The model has achieved remarkable results in promoting the coordinated development of industries, ensuring safe and secure supplies, optimizing the regional energy structure, and achieving harmonious and stable economic and social development. Then, put forward the strategy thinking of natural gas industry development, such as playing central enterprises functions, taking integrated operation as the best choice for resources and market overlapping areas under market-oriented reform direction. It will be helpful to reduce the supply cost of the entire industrial chain, and have great significance to accelerate the development of shale gas.