Abstract: Macao's national economy has developed rapidly since its return, and it is of great significance for Macao's development to clarify development ideas and rationally optimize the industrial structure. In this article, based on the statistical data of Macao, the dynamic relationship between gaming industry, tourism development and national economy in the 20 years since Macao's return are empirically analyzed by constructing a vector auto regressive model and employing impulse response function and variance decomposition. The results show that: (1) the increasing number of tourists is the Granger cause of the gambling industry development, but gambling industry has no Granger relation with economy or tourism; (2) gaming industry can promote economic growth and tourism increase in the short term, but not in the long term; (3) national economy mainly influences the gaming industry through macroeconomic regulation and policy guidance, and its benign growth in the later part of the 20 years is related to the development of diversified industries; (4) the interaction between tourist number and national economy shows the same frequency of impact, and the two factors can promote each other in the long term. Macao cannot realize benign economic increase with the development of the gambling industry alone; instead, it needs to build a diversified industrial system following the positioning of the world tourism center and relying on the advantageous industries.