The increasing frequency of extreme weather events has created persistent challenges for agricultural production, significantly amplifying price volatility in agricultural markets. As a fundamental mechanism for optimizing resource allocation, the impact of market integration on mitigating climate-induced price fluctuations warrants thorough investigation. This study develops a three-sector equilibrium model incorporating production (farmers), distribution (new agricultural business entities), and consumption (markets), which theoretically elucidates the transmission mechanism whereby extreme weather reduces local supply and drives price increases, along with the conditions under which market integration can effectively mitigate these impacts. Utilizing a comprehensive dataset spanning 2011-2022, including price data from 96 national agricultural wholesale markets, county-level climate records, and micro-level data on new agricultural business entities, we empirically examine these relationships using Chinese cabbage as a case study. Our results demonstrate that extreme heat significantly increases cabbage prices primarily through production shocks, with local production capacity and distribution efficiency serving as key moderating factors, while demand-side factors show negligible effects.Further analysis reveals that local markets mitigate climate shocks through dual channels: enhancing their own production resilience and distribution efficiency, while also benefiting from spillover effects via interconnected markets. The mitigation effect strengthens with increasing market integration. Heterogeneity analysis distinguishes between peripheral markets, which rely predominantly on local production resilience with limited benefits from distribution improvements or regional coordination, and hub markets, which achieve more effective shock absorption through advanced distribution systems and robust inter-regional collaboration.These findings offer valuable insights for addressing market fragmentation and advancing market integration in agricultural systems. The study provides both theoretical contributions to understanding climate-risk transmission mechanisms and practical implications for designing differentiated regional policies to enhance market resilience.