China’s “Go West” strategy refers to the policy of cultivating its western region and developing China’s relations with Central Asian and Eurasian countries. The strategy has economic development of China’s western region as its fulcrum, economic integration of the Shanghai Cooperation Organization (SCO) members as its foundation, and the European market as its terminal. It seeks to gradually expand China’s economic power to Eurasia and ultimately to realize its political objective of reshaping China’s geo-economic space, strengthening governance capacity in the border areas, and balancing China’s international strategic standing. Both the policy of cultivating the western region and China’s Central Asia policy attempt to strengthen China’s governance capacity in the frontier via economic development. However, there are still many problems associated with economic development of the western region and regional integration in Central Asia, and due to the lack of systematic linkage, the two sets of policies cannot effectively integrate China’s western region and Central Asia in the short run.