Taking the panel data of listed SMEs from 2009 to 2017 as samples, this paper applies the cash-cash flow sensitivity model to analyze the impact of financial agglomeration on financing constraints of SMEs. Overall, financial agglomeration can alleviate the financing constraints of SMEs to a certain extent, but there are regional differences and the threshold effect is obvious. Financial agglomeration has significantly improved the financing plight of small and medium-sized enterprises in regions with low levels of financial agglomeration, but its impact diminishes as the level of financial agglomeration increases. When the level of financial agglomeration exceeds a higher threshold, this effect is very weak, showing a nonlinear characteristic feature. It indicates that crowding out effect may occur when financial resources are highly concentrated.