With the globalization, the financial industry has become a new management model of financial holding all over the world. The free movement of the capital within the Single European Market has contributed to a transnational financial holding in the EU. The failure of the corporate governance and the default of the European financial market have been disclosed after the global financial crisis in 2008. Therefore, the EU reformed to react against the global financial crisis and proposed the new concept of the European Banking Union, which is currently the most important financial policy in order to achieve the stability of the financial market in the EU and its member states. The EU has enacted lots of new regulations to carry out the Banking Union and to integrate the playing field for the banking industry in the EU. This article works on the background and the development of the single financial supervision in the EU and Banking Union. The concepts of the European Banking Union are described. The importance of the European financial market may not be ignored.