The levels of new industrialization and urbanization are quite low in Anhui Province. To launch an interactive research on the new industrialization and urbanization and explore their interactive mechanisms and degree are of great importance to promote the new industrialization and urbanization and realize their positively interactive developments. Based on the measuring indicators of Anhui new industrialization and urbanization, this thesis calculates the comprehensive index of Anhui new industrialization and urbanization level from 1985 to 2004. It also carries an empirical analysis of the relationship between new industrialization and urbanization in Anhui with co-integration method. Results indicate that the role of Anhui new industrialization promoting urbanization is significant, while the urbanization is weak to promote the new industrialization.