This paper introduces the industrial exhaust emissions into the profit function of representative industrial enterprises, constructs the objective function and constraints of representative financial institutions based on the model of opiela, obtains the functional relationship between industrial exhaust emissions and agricultural loans based on the optimal decision of representative financial institutions, and then puts forward the research hypothesis. Then, based on the balance panel data of 31 provinces and cities in China from 2009 to 2018, the hypothesis is tested to study the relationship between industrial exhaust emissions and the proportion of agricultural loans. The results show that there is a "positive U" nonlinear relationship between the industrial exhaust emissions and the proportion of agricultural loans. With the increase of industrial exhaust emissions, the proportion of agricultural loans first decreases and then increases. On the left side of the inflection point, while reducing exhaust emissions, the proportion of agricultural loans can be increased, which is a "compatible" relationship. On the contrary, on the right side of the inflection point, reducing exhaust emissions will reduce the proportion of agricultural loans, which is a "mutually exclusive" relationship. Further research found that financial decentralization and digital infrastructure level also indirectly affect the proportion of agricultural loans through some intermediary effects of industrial exhaust emissions. Finally, based on the conclusion of the study, policy implications are proposed.