The increase of China inland’s economic，technological and innovation level can’t be separated from the Hong Kong’s knowledge spillover since the reform and opening up. Taking the Guangdong Province as a case，the paper used the economic and social data of Guangdong Province and Hong Kong from 1990 to 2010 and built a knowledge production function model from the aspect of knowledge spillover，then empirically analyzed on the impact of Hong Kong’s knowledge spillover on Guangdong Province’s innovation capability. The results show that the stock of knowledge and R&D capital is the main influencing factors to the regional innovation capability. Hong Kong’s direct investment has a slight negative effect on the Guangdong Province’s innovation capability，whereas the impact of exchange between Guangdong Province and Hong Kong is positive. Meanwhile，the effect of Hong Kong’s knowledge spillover is related to the human capital and information fluency in Guangdong Province，and the increase of market competition degree will expand the negative effect of the knowledge spillover that from Hong Kong’s direct investment. At last，the paper proposes some policy recommendations about how to enhance the inland’s whole innovation level based on the empirical research.