Cross-border e-commerce has emerged as a new growth point in foreign trade. While the Dalian comprehensive pilot zone has made some progress, its development is constrained by issues such as the global economic slowdown, the relatively small scale of cross-border e-commerce, a high concentration of export commodities, imperfect information mechanisms, and high overall costs. To address these challenges, this paper explores the importance of the construction of the Dalian comprehensive pilot zone for cross-border e-commerce to the transformation and upgrading of exports. Based on my research project, “Research on Path Optimization of Financial Support for the Development of Advanced Manufacturing Clusters in Dalian,” this paper analyzes the current challenges and limiting factors and proposes corresponding countermeasures and suggestions.