With the booming of big data in finance, data mining technologies, as a new method of data statistics, have made superior economic applications available to researchers. Based on the relationship between shadow banking and interest rate liberalization, this paper intended to analyze the bidirectional relationship between shadow banking and interest rate liberalization using big data mining technologies. The relationship between data mining and the economic application of shadow banking was proven using data from 2014 to 2021. On this basis, this paper identified the bidirectional influence between shadow banking and interest rate liberalization. The findings show that shadow banking has positive contributions to the liberalization of interest rate, and the interest rate distortion resulting from interest rate control also drives the development of shadow banking. Moreover, feasible suggestions have been proposed for supervision on policies.