This paper analyzes the dynamic relationship between industrialization,urbanization and agro-modernization in Shaanxi province from 1991 to 2010 by using Johansen cointegration test and the Error Correction Model. The result shows that "industrialization ,urbanization and agro-modernization " in Shaanxi province are cointegratedly related in long term and their developmental trends are in the same direction; while in the short run,the development of industrialization and ago-modernization are opposite to urbanization. Under the situation of lagging two periods,industrialization and urbanization in Shaanxi province are showing mutual Granger causality,industrialization is the Granger cause of agro-modernization while agro-modernization is not Granger cause of industrialization. The impulse response and variance decomposition analysis show that the one-time-shock of agro-modernization and industrialization can only cause the small and short-run fluctuation of urbanization,the one-time-shock of urbanization can cause the fluctuation of agro-modernization and industrialization in the study period. Therefore,this paper puts forward several specific policy suggestions on how to push forward coordinated development of"industrialization,urbanization and agro-modernization " in Shaanxi province.