This paper, we tried to consider the definitions of “Self-regulation” and “Self-regulatory Organizations” (hereafter called SROs) put forward in the viewpoint of the encyclopedias and dictionaries, applicable laws and the lawyers and economists as well, in order for scrutinizing them with a legal-economic approach. On the other hand, we made an effort not only to clarify the bases of the non-governmental supervising authorities- that of course include government’s representatives- in Iran and the US capital markets, but also to analyze the relation between SROs as the private sector and these authorities in the capital market As a result, it was found out that the actual and right place of the SROs are in the capital market of a given country, or to be more precise in the economic activities; however, these SROs or the method of controlling and regulation by “Self-regulation”, are used in psychological and criminological studies, medical science and the press as well. In adition, the result of comparing the Iranian and the US SROs was that both in Iran and the US’s capital market, SROs are not in fact self-regulatory in all their functions and at least for the two aspects namely, forming and establishing and approving instructions and bylaws, are strictly supervised by the non-governmental authorities. We also attributed the philosophy behind this fact to the need of supervising non-governmental authorities with the presence of government representatives in economy, in view of the bases that we enumerated here.