While high-speed rail (HSR) investments in China are largely funded by the central government, their localized benefits often accrue to city governments. To examine how this mismatch shapes city financing behavior, we implement a difference-in-differences (DID) analysis using a comprehensive city–year panel dataset that includes HSR infrastructure, 3.69 billion individual HSR ticket sales records, and detailed information on Chengtou bonds (CTBs) issuance and outstanding balances. We find that HSR operation significantly increases CTBs issuance, with stronger effects associated with HSR passenger flows than with HSR mileage; in cities with higher land prices, greater population density, and higher fiscal openness; and for trunk HSR lines as well as bonds issued by HSR-related entities. However, this effect raises city governments’ debt-to-GDP and debt service ratios, particularly in less developed western regions, heightening local debt risks. These findings highlight the need for coordinated transport and fiscal policies to ensure sustainable infrastructure investments.