China has recently issued a policy “new 36 articles” encouraging private capital to enter energy industry. Under the setting of the Belt and Road, this paper selects panel data of China's listed energy enterprises during 2014 to 2018 and uses DEA model to estimate their operating efficiency. Tobi model and panel threshold model are built upon proportion of private capital to analyze the impacts of private capital entry into China's energy enterprises on operating efficiency, and to explore if this impact will change structurally as energy enterprises size changes. It is concluded that their operating efficiency is generally low and there is a prominently positive impact of proportion of private capital. A threshold effect exists in enterprise size, 80,544 million RMB, that a little impact if it is lower than the threshold, greatly positive impact over than that. Their operating efficiency is also outstandingly positively impacted by human capital and total asset turnover, negatively by enterprise size.