Constructing the supervision index system for healtheare insurance fund under DRG payment could help to conduct effective supervision on the unexpected behaviors, such as high coding of diseases, reduction of necessary medical services, admission on low standards and decomposition of hospitalization. According to the principles of result orientation, process management, comprehensive and objective, it constructed the supervision index system for the healthcare insurance fund under the closed-loop of DRG payment based on three key links in medical services and DRG payment. It is suggested that regulatory indicators should be adjusted in a time, indicator regulation should be combined with rule regulation, and an intelligent monitoring system based on the indicator system should be established to prompt fund management risks in time.