There is an abundance of literature on the relationship between market structure and profitability. Market share and concentration are usually analytical tools serving as indicators of market structure. There have been many empirical studies based on the structure–conduct–performance (SCP) theory. However, the correlation between market structure and bank interest spread has rarely been discussed in depth. Therefore, this paper constructs financial industry firm-level panel data of Asian emerging market countries from 2001 to 2015 to further explore the impacts of foreign bank participation, financial market concentration and the level of competition on bank spreads. Apart from the differences in samples, the most significant difference from the previous literature is that this paper considers the best indicators of competitiveness, namely the H value of the Panzar–Rosse (P-R) model to measure the banking market and competitive conditions. This study provides a more complete and detailed analysis by adopting the system GMM approach to perform the estimation and avoid the problem of endogeneity. Regarding the overall sample, the participation of foreign banks has had a positive and significant impact on bank interest spread, suggesting that the participation of foreign banks is a major factor influencing bank interest spread in the general financial markets in Asian emerging market countries, and that more foreign banks in local financial markets can help improve bank performance.