Water conservancy investment affects economic development. To scientifically analyze its economic efficiency, this paper employs a projection pursuit clustering model based on the real-coded accelerated genetic algorithm to reduce the number of output index systems for each year, and the relative economic efficiency is obtained for 13 cities in Heilongjiang Province during the period 2007–2012 using a data envelopment analysis (DEA) model. The spatial distribution regulation is described based on the average efficiency derived for the period 2007–2012. Finally, the output values are optimized for ineffective cities under the optimization principle according to the 2012 values. The results show that the output index system is different for each year. Most cities exhibit comprehensive effectiveness, and the development of water conservancy is generally good. The spatial distribution regulation of economic efficiency tends to be high in the south and low in the north because it is related to local economic development and water policies. To achieve comprehensive effectiveness, the output indices need to be adjusted. This study assists with the promotion of efficient development plans for water conservancy systems and the economic efficiency of water conservancy investment in Heilongjiang Province.