Based on panel data from 2010 to 2021 at the firm and city levels in China, this study empirically analyses the characteristics of the impact of cross-border e-commerce policy shocks on firm total factor productivity (TFP). The benchmark analysis indicates that cross-border e-commerce policy shocks can significantly enhance firm TFP. Furthermore, when firms possess more diversified supply chain configurations or higher reliance on external financing, the positive effect of cross-border e-commerce policy shocks on firm TFP is more pronounced. Channel analysis further indicates that, under different circumstances, cross-border e-commerce policy shocks can enhance firms' TFP through more favorable financing conditions, higher levels of R&D investment, and greater risk-taking capacity. Additionally, the TFP-enhancing effects of cross-border e-commerce policy shocks exhibit heterogeneity across firm equity structure and asset size. Therefore, it is necessary to support firms in optimizing their supply chain configurations, strengthening heterogeneous financing systems, and leveraging the establishment of cross-border e-commerce comprehensive pilot zones to enhance firms’TFP.