As an important part of China’s national economic development, the private economy has played a relatively important role in promoting high-quality economic development, promoting scientific and technological innovation, and increasing employment opportunities. However, while the private economy is developing steadily and well, it also faces many pain points that need to be solved urgently. The identity problem is an important problem that has been troubling some private entrepreneurs for a long time. The so-called “private enterprise identity” mainly refers to the state-owned private enterprises whose initial property rights are owned by the state or the collective, and then privatized by private entrepreneurs through various ways such as equity acquisition. Compared with the self-employed private enterprises established by private entrepreneurs from the ground up, due to the high political cost and the pressure of public opinion, there are certain obstacles to their self-identity. This paper focuses on the specific impact of private enterprise identity on their micro-financialization decisions. Intuitively, due to the high political cost and public opinion pressure of state-owned private enterprises, the future operation risks of enterprises are exacerbated to some extent. In order to appropriately transfer risks, these private entrepreneurs have the motivation to strengthen financial asset allocation and thus increase the financialization degree of state-owned private enterprises. At the same time, due to certain obstacles to their own identity, state-owned private enterprises are more inclined to increase investment in the financial sector to deal with adverse situations such as the decline in the performance of their main business, which will also aggravate their financialization degree. Based on the above considerations, this paper takes the Shanghai and Shenzhen A-share private companies whose actual controllers are natural persons or families during the period of 2007-2018 as the research sample, manually collects the initial property rights acquisition methods of private enterprises, and divides them into state-owned transformation private enterprises with serious identity problems and self-employed private enterprises without identity problems. It investigates the specific impact of private enterprise identity issues on their financial decision-making. The study finds that compared with self-employed private enterprises, state-owned transformation private enterprises with identity issues are more inclined to engage in financial behavior, which is reflected in a larger proportion of financial asset allocation and a higher proportion of financial investment income. Cross-sectional analysis shows that the positive impact of private enterprise identity issues on financial decision-making is more significant in the samples with poorer performance in the main business, greater operating risks, and lower degree of regional marketization. Further research finds that the financial behavior caused by private enterprise identity is mainly real estate investment, and also promotes the excessive financialization of enterprises. The research conclusion not only enriches the related literature on the influencing factors of corporate financialization and the economic consequences of private enterprise identity recognition, but also has certain reference significance for better exerting private entrepreneurship in the new era to promote the vigorous development of private economy. It also provides effective policy inspiration to properly manage and deal with the historical problems left over by some private enterprises in the process of property right transformation during the 14th Five-Year Plan period and the new normal stage of economy.