Firms in China with higher corporate social responsibility (CSR) performance may not substantially reduce their cost of equity capital versus firms in developed countries. To compare the different capital structures between developing and developed countries, this study examines whether CSR affects a firm's cost of equity and debt capital in China. Our results show that Chinese firms with higher CSR performance can rapidly reduce their cost of debt capital. When we use capital structure (CS) as a moderator to evaluate the relationship between CSR and the cost of capital, the findings present that CS does not play a moderating role. The CSR value curve indicates that CSR investment by Chinese firms is still at legal and compliant levels, incurring more information asymmetry and less market efficiency in the country's financial sector.