Taking soybean products as an example and using the daily price data of 2007-2015, this paper established the error correction model and BEKK-GARCH model, and made an empirical study on the spillover effect of futures and spot price of agricultural products of China. According to this study, there were mean spillover effect and two-way volatility spillover effect in futures and spot price of soybean, soybean oil, and soybean meal; soybean futures prices significantly guided the spot price; in the price linkage between the types, the price relationship between the soybean meal and soybean was closer than between the soybean oil and soybean.