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Soil erosion is by far the greatest cause of land degradation and other environmental and socio‐economic problems in China. Although various conservation methods are widely utilized to reduce soil erosion and to sustain agricultural production, the cost‐effectiveness and selection of these methods are less known. Using our survey and ecological data, this study evaluated four soil and water conservation methods in Changting County, Southeast China. The results show that the disparity of conservation costs is much larger than that of ecological benefits. Planting fruit trees is a kind of conservation through primarily economic development. Closing hillsides for afforestation is most cost‐effective, followed by forest fertilizing, and planting trees and grass. Our findings suggest that comparatively lower cost conservation methods, for example closing hillsides for afforestation, should be considered in priority if initial ecological conditions can meet the requirements of the method. Copyright © 2015 John Wiley & Sons, Ltd.