This paper considers financial innovation as a system, uses the self-organization theory to explain the openness, imbalance, non-linearity, fluctuation, bifurcation and environment selection in the financial innovation process, and reveals the nature of self-organization evolution of financial innovation. And then, on the base of analysis on self-organization evolution, the paper builds self-organization evolutionary model of financial innovation, and makes a further step to dig into the fluctuation, bifurcation, non-linearity, positive and negative feedbacks in the evolution process.