SMEs are the most dynamic part of the economy of our country，for they play an irreplaceable role on promotion of economic growth，sustainable development，transformation of economic development and implementation of the national strategy. Now the development of SMEs is suffering the plight of financing difficulties. This paper tries to resolve the problem by analyzing the strengths of multi-level markets in meeting the financing needs among SMEs，and probe into the problems existing in the multi-level market during its service for SEMs. And then this paper offers some recommendations to improve and perfect the multi-level market，including lowering the barriers to entry of SMEs，clearing the functions of each level of the capital market，positioning and trading system，formulating the transfer board system，establishing and perfecting multi-level supervision system，etc.