Based on the perspective of financial geography, this study analyzed the convergent mechanism of urban–rural financial imbalances under the influence of spatial spillover through the theoretical framework of spatial process, spatial action, and spatial convergence. Then, we empirically tested the spatial spillover, spatial difference, and spatial convergence of urban–rural financial imbalances in China from 1991 to 2021. We found that urban–rural financial imbalances showed significant spillover effects and heterogeneous characteristics. Spillovers based on financial radiation and exclusion were apparent during the urban financial agglomeration stage, decreasing with geographical distance, and had an essential impact on the convergence of provincial urban–rural financial imbalance. As such spillovers declined during the financial diffusion period, new spillovers at the technology and information dimensions, which were less geographically constrained, came into play and contributed to urban–rural financial convergence. The policy implications are that it is necessary to pay attention to the spatial interaction of urban–rural financial inequality, correctly use their spillover effects to achieve financial convergence, and activate new spatial spillover channels according to their spatial interaction mode changes for further urban and rural financial convergence.