In this paper, using a set of zero yield curve data of China’s government bonds and credit bonds, along with China’s aggregate credit risk measures, and macroeconomic variables from 2006 to 2013, we document a puzzle of counter-credit-risk corporate yield spreads. We interpret this puzzle as a symptom of the immaturity of China’s credit bond market, which reveals a distorted pricing mechanism latent in the fundamental of this market. As by-products of our analysis, we also find interesting results about relations between corporate yield spreads and interest rates as well as risk premia and the stock index, and these results are somewhat attributed to this puzzle.