Electrical power data has the advantages of wide coverage, strong real-time and high authenticity, consequently, electrical power data can represent consumption level to some extent. To reflect the consumption level accurately, the paper constructs a electrical power consumption index system based on a combination of entropy weight method (EWM) and analytic hierarchy process (AHP). Firstly, the paper studies the basic types and classifications of consumption of a province in China and then divides consumption into eight categories and each category is subdivided into various industries. Secondly, the paper picks up the effective electricity indicators that can characterize consumption, on this basis, it analyzes the correlation between electrical power data and consumption data, then establishes a multi-factor consumption index system based on electrical power data, applying the EWM and AHP to the mathematical model of consumption index, and puts forward the implementation steps. Finally, the method is respectively applied to various industries and total industry in the province of China, and the consumption index and electrical power data are empirically studied, which shows that the proposed method is effective and practical.