As energy supply situation becomes tighter and the climate change problem becomes more urgent, many countries vigorously develop and utilize natural gas to ensure the safety of energy supply and reduce carbon emission. Chinas natural gas demand has entered into a period of rapid growth, and the natural gas reform with the core of market-oriented pricing has become an important part of Chinas energy strategic planning. At present, Chinas natural gas price is linked to the alternative energy prices, which is facing a series of problems. The US natural gas market with highest level of marketization has also experienced price control period. In the process of deregulation and forming a competitive market, the evolution of the relationship between oil and gas prices could reflect the changes of natural gas pricing mechanism and its internal causes. According to the quantitative analysis of the relationship between oil and gas prices in North America, we could have a better understanding of the laws of international natural gas prices, and offer inspirations for Chinas natural gas pricing reform and market-oriented reform. In this study, with dynamic modeling thoughts, we research on the dynamic changing law between international oil prices and natural gas prices represented by the North America market. We take exogenous factors like speculation, inventory, and weather into consideration, and use state space model and Markov regime switching model to study on the comovement of oil prices and natural gas prices. The results indicate that after the shale gas revolution, the relationship between oil and gas prices of North America presents weakening gradually showing a trend of decoupling. There is no long-term cointegration between oil prices and natural gas prices, while there is a dynamic equilibrium with the development of the market. Under the market-oriented pricing mechanism, natural gas market price is easily influenced by many factors like supply and demand, speculation, weather and so on. The international natural gas market is in a special stage, in which the countries with natural gas price controls are gradually carrying out deregulation. Meanwhile, the rapid promotion of LNG increases the liquidity of interregional natural gas trade, and the global natural gas market shows a trend of integration. Under this background, China should accelerate the process of marketization and explore the pricing mechanism which is suitable for the national situation. On the basis of our research results, we put forward several implications for future direction of Chinas natural gas market, including: (1) track the price fluctuation laws of international crude oil market, and adjust the natural gas pricing in time; (2) establish natural gas futures, which helps form the price that reflects the changes of domestic supply and demand of natural gas; and (3) open the upstream market, introduce competition mechanisms, and establish a diversified supply system.