In this paper, urban comprehensive efficiency and its changes from 2005 to 2014 in Xinjiang were analyzed by using the DEA-Malmquist index model. The results show that the increase in the overall urban efficiency of Xinjiang was mainly from improving the scale efficiency; among 18 cities in Xinjiang, only the City of Changji realized the pure technical efficiency and scale efficiency growth; development of medium-sized cities owed much to the improvement of pure technical efficiency and scale efficiency; urban comprehensive efficiency was poor in southern Xinjiang. For this purpose, it is of necessity to increase the investment in the medium-sized cities and cities in southern Xinjinag, accelerate the training of enterprise technology innovation ability, improve the city “transformation”ability, speed up the transformation of government functions, to improve the comprehensive efficiency and accelerate the economic development of cities in Xinjiang.