Abstract: With the increasing opening-up of the domestic cotton market, the cotton price linkage between domestic market and international market has increased. It is particularly important to clarify the mechanism of cotton price transmission between domestic market and international market. Based on the weekly data from April 6, 2007 to July 6, 2018, this paper applied the MSIH (3)-VAR (P) model and impulse response to analyze the interaction and nonlinear spatial transmission in China’s futures market, China’s spot market and international futures market. Empirical results show that: 1) the fluctuation of international cotton futures and China’s cotton futures and China’s spot market price display some three-regime nonlinear transmission features; 2) China’s cotton spot market responds relatively weakly to international cotton market under the influences of some weakening factors and is guided by international futures price; and 3) China’s cotton futures market has a stronger response to China’s spot market price changes and China’s spot market has a relatively weaker ability to identify futures prices, but it tends to lead cotton futures price. In addition, China’s cotton futures market still needs further development and improvement. These findings and the nonlinear model for analyzing cotton price volatility provide some reference for the policy makers and those relevant stakeholders in the cotton industry.