Based on the data of China’s automobile manufacturing industry from 2001 to 2012, according to the idea of the distributed lag (ADL) and the Koyck model, the AIC, SC information criterion is used as the judgment standards for selecting optimal lag order number, to study the impact of FDI and R&D on the technological innovation capability of Chinese automobile industry in the case that the lagged-effect is included in considerations. The results showed that the whole impact of FDI on the technology innovation capability of Chinese automobile industry had an increasing trend over time, that is, the lagged-effect existed and a relatively significant positive impact on innovation competitiveness was mainly reflected, while the impact on the core technology and technological innovation output capacity was always not obvious. R&D had a significant positive impact on the upgrading of technological innovation capability of Chinese automobile industry, which was stronger than FDI and also had a lagged-effect. Chinese automobile industry should actively guides foreign investment to the industrial R&D institutions, to increase the proportion of foreign investment for innovation; and increase R&D investment, focusing on relying on independent innovation to fundamentally enhance the technological innovation capability.