The micro-response of earthquakes can generate electromagnetic anomalies. In order to reveal the generation mechanism of coseismic electromagnetic wave signals in the Zhuolu M_s4.3 earthquake on September 6th, 2014, this paper analyzed the causes of electromagnetic field changes during the earthquake combined with two-dimensional electrical structure in Zhuolu. The results showed that: (1) within tens of seconds after earthquake, significant coseismic electromagnetic wave signals appeared in the time series of each component from the electromagnetic field; (2) the electrical structure showed that there were obvious material interfaces in the study area above 18 km and the deep part was high conductor with high porosity. It is inferred that the generation mechanism of the coseismic electromagnetic anomalies is that the high-conductor responses to the high-porosity area rich in high-temperature fluid, and the high-resistance area represents the low-porosity bedrock area. The obvious material difference between these is the favorable condition for the formation of the apparent coseismic electromagnetic wave signals. When earthquake occurred, seismic wave caused electric pole-dipole distance of the electric double layer at the interface between the basin basement and the region rich in fluid to change. The oscillating dipole generated electromagnetic waves and formed coseismic electromagnetic signals.