In recent years, with the gradual development of interest rate liberalization, our country gradually entered the era of low interest rate. The income of all kinds of financial products can not meet investors' expectations gradually. And structured financial products as a new financial product, relies on its structural model by combining the basic financial instruments and derivative financial instruments, with its characteristics of both fixed income securities relatively safe and financial derivatives to hedge risk, the benefits of asymmetric characteristics, has become popular with investors in our financial markets products. This paper introduces the background and concept of structured financial products, in-depth analysis of the internal structure of structured financial products and product applications, and the future development prospects of this kind of financial products.