Based on the quarterly data of 32 listed banks in China from 2007 to 2019, this paper empirically tests the impact of wholesale funding on bank systemic risk and its components. The results show that wholesale funding reduces banks’ individual risk, but increases the correlation between the individual and the system, and has a positive comprehensive effect on the banks’ systemic risk. In addition, the further analysis suggests that liquidity shock can strengthen the role of wholesale funding in promoting the correlation between individual and banking system, thus increasing the systemic risk effect of wholesale funding. The banks’ capital ratio can enhance the ability of wholesale funding to mitigate banks’ individual risk, and weaken the ability of wholesale funding to enhance the correlation between individual and banking system, to reduce the systemic risk effect of wholesale funding. In addition, bank capital also helps to mitigate the aggravating effect of liquidity shocks on the systemic risk effect of wholesale funding.