This paper uses DEA and Malmquist index to calculate the total factor productivity of manufacturing industry along “the Belt and Road” from 2006 to 2016, and discusses their regional differences and dynamic rules from temporal and spatial dimensions. Decomposition of total factor productivity is performed to explore the source and drives of its internal changes so as to precisely study the spatial difference and evolution of total factor productivity of manufacturing industry. The total factor productivity of manufacturing industry along “the Belt and Road” shows a U-shaped changing trend which suggests an improved resource allocation efficiency, and is of regional heterogeneity, high in southeastern coast area, followed by northeastern and southwestern area, and then by northwestern area. Technical advances play a key role in increasing the total factor productivity, and research and development input, patent counts, new products revenue and “the Belt and Road” policies are positively related to the total factor productivity.