This paper uses “learning by doing” model in endogenous economic growth theory to establish the social production function under urban-rural dual structure, which is applied to study the short- and long-term change among urbanization, industrial structure adjustment and urban-rural gain inequality, verified by Yunnans 1986—2016 data. This paper presents policy suggestions on mitigating urban-rural gain inequality, boosting urban-rural integration and coordinating industry and agriculture. Results show an upside-down U shape between urban-rural gain inequality and urbanization & industrial structure adjustment, rising then falling. Urban-rural gain inequality trends to diminish as urbanization rate reaches 28%, and starts to diminish when industrial structure adjustment reaches 4.28. Yunnan is currently in a key period in decreasing urban-rural gain inequality, positively driven by urbanization and industrial structure adjustment.