Abstract: The trade effect caused by the change of RMB exchange rate is the focus of scholars. The fluctuation of RMB exchange rate has an essential impact on the trade between Yunnan and Southeast Asia. This paper takes quarterly time series data of Yunnan from 2003 to 2018 to analyze the impact of RMB exchange rate changes on the trade between Yunnan and Southeast Asia. The research results show that the changes in RMB exchange rate have a significant impact on the trade between Yunnan and the Southeast Asia, mostly positive. Based on the research, this paper proposes corresponding countermeasures.