Abstract: For understanding the complexity of financial governance, the existing research approaches to financial regulation in finance are still insufficient, so there is an urgent need for the involvement of other disciplines’ perspectives, theories, and methods. The institutional analysis of economics and sociology each has comparative advantages, while there is also a theoretical space for mutual learning. The deep integration of them can provide more fundamental and analytical theoretical tools for understanding financial governance phenomena. Using Williamson’s multi-level theoretical model for reference, this research attempts to integrate the institutional analysis context of economics and sociology to construct a three-level institutional analysis framework of “institutional environment—governance system—contractual arrangement”, and by which to interpret the phenomenon of online lending governance in the field of digital finance in China. This research has shown that multi-level institutional analysis can help to explain the phenomena that cannot be fully covered by single-level institutional analysis, that is revealing the scope of influence, defined content, frequency of change of different levels of institutions and the interaction between them, thereby providing a possible analytical path for opening the black box of financial governance and understanding the complexity of financial governance.