This paper, based on Shanxi's resources, studies the economic data in coal, power, steel and chemicals during 2008 to 2015, and analyzes the industrial co-integration development issues during economic transformation in Shanxi province. Co-integration theory is based on coupling correlated analysis, uses entropy to calculate the comprehensive evaluation index of each industry. Coupling model is established to quantitatively analyze their co-integration degree of each two industries, with results showing that their co-integrations are high in the four stated-above industries in Shanxi province. After 7-year's industrial adjustment, industrial development converted from steel leading chemicals to steel following chemicals. The power industry, as the basic industry of energy supply, rather than the energy source industry, is led by the other three industries.