This paper first studies the development status of domestic and overseas venture exploration capital markets (VECMs). Combining the current situation of the venture exploration market in China, this paper concludes that lack of participants in the VECM, lack of credibility of mining investment, backward mining policies, and the defective supporting system for the VEMC are the main challenges in building a strong VECM. To establish the VECM in China, the paper proposes a three-step development path, which to first cultivating the VECM participants in China using the overseas market, then improving the domestic mining investment environment and establishing a credit system, and finally, establishing China's VECM.