In the development process of China’s stock market for more than 30 years, corporate fraud has always been unable to be contained. The effect of the current supervision mode focusing on the punishment after the event is not ideal, and preventive supervision before the event should become a more important topic of investor protection in the securities market. As the participants and informed players of corporate decision-making, the management is more likely to have private information about whether listed companies have fraud propensities or have already violated regulations. The discussion on abnormal management departure can provide important information for interpreting the condition of corporate governance. This paper takes China’s A-share listed firms from 2010 to 2019 as the sample, and explores the signaling effect of abnormal management departure on corporate fraud. The results show that: First, compared with companies without abnormal management departure, companies with abnormal management departure have a higher probability of fraud, which still holds after a series of robustness tests. Moreover, through the internal logical analysis of abnormal management departure and corporate fraud, it is found that abnormal departure is the active choice made by the management to avoid risks before the exposure of corporate fraud, rather than the forced action due to the exposure of corporate fraud. Second, further analysis shows that abnormal management departure has a signaling effect only on corporate fraud propensity, but has no significant effect on fraud detection. Third, heterogeneity analysis shows that the signaling characteristics of abnormal management departure vary widely depending on the different ownership structures of listed firms. Under the ownership structure with a lower equity balance or non-state holding, abnormal management departure has a better signaling effect on corporate fraud. Fourth, investors can recognize the risk signals sent by abnormal management departure, but they will also forget the risk in a short term. This paper examines the relationship between abnormal management departure and corporate fraud from the perspective of signaling effect, providing a new perspective to interpret the governance condition of listed firms, and also providing unique interpretation information for regulators and investors to predict corporate fraud. Meanwhile, it further proves that the core agency problem of China’s listed companies is mainly the problem of major shareholders’ expropriation on the interests of listed companies and minority shareholders, rather than other problems.