Abstract: Entrepreneurial failure is an important learning scenarios, even more than the value of information to business success. The perspective of entrepreneurship research often ignore the failure, separates the relationship between failure and success. To better understand the core issue: the experience of entrepreneurial failure would Contribute to future business success or not? A theoretical model was constructed, about entrepreneurial failure (EF), learning from the failure (LF) and new venture performance (NVP). And through empirical research on 147 valid samples, the following conclusions have been found. The relationship of EF, LF and NVP showed a non-linear and inverted U-shape relationship. Numbers and the extent of entrepreneurs’ previous failure(s) will be positively associated with the level of learning and the growth of their subsequent ventures, up until a threshold point where it will be negatively associated with both of them. LF has the significant positive impact on the NVP, and play the role of mediating effect between EF and NVP. The findings revealed, not all failures can be equivalently promote LF. Moderate failure is the best learning situation, and has the most learning value. Good at learning from failure is the key to business success.