Abstract: Selecting data from May 2015 to May 2018, the paper depicts the relationship between market sentiment and iron ore futures prices and spot prices in the context of supply-side reform from a nonlinear perspective by constructing the MSVAR model.The results show that the market sentiment has a negative response to iron ore futures prices and spot prices, while iron ore futures prices and spot prices have a positive response to market sentiment.Meanwhile, there is a two-way mean value spillover effect between iron ore futures prices and spot prices, while market sentiment has a one-way mean value spillover effect on iron ore futures prices and spot prices.Finally, in order to maintain the long-term development of the iron ore futures market, the government should perfect the environment and system of the iron ore market, enrich the varieties of futures and enhance the enthusiasm of investors, while the enterprises should use the price discovery law to avoid risks and implement the measures of supply-side reform, so as to perfect themselves to adapt to the future development of the market.