In order to response the idea of Locke that goal setting theory still needs to be developed. The paper examines the goal setting theory from the perspective of cognitive psychology. The results showed that setting specific goals with certain difficulty can make subject produce a higher level of effort than setting vague or general goals, which improves the performance in turn; the results of setting specific but less difficult goals have no significant difference compared with that of nonspecific goals; the easier the subjects accept goals, the better performance they show; the moderating effect of task difficulty variable to goal difficulty and performance variable can be showed by exploration and use of the strategy of subjects and tolerance of time pressure.