Medical insurance supervision is a priority in the management of medical insurance. In the era of big data, the full application of medical insurance data is the strong support of medical insurance supervision modernization and an indispensable technical means for medical insurance agency management. As a national intelligent monitoring demonstration city, Shanghai actively explores the establishment of a medical insurance security management information platform, applies new technologies for big data mining to establish data models, promotes the improvement of data quality and refined management, and effectively supervises medical insurance funds. This article explores the construction and development of intelligent medical insurance supervision in Shanghai, introduce the application of data mining technology in supervision with case analysis, and share achievements and benefits for other cities.