In order to analyze the effectiveness of setting exclusive pedestrian phase (EPP) under different vehicle yielding rates, the effect of EPPs on traffic efficiency is studied and a setting condition of EPP considering pedestrian-vehicle interaction is proposed in this paper. First, the main factors influencing the behavior of vehicles and pedestrians during pedestrian-vehicle interaction are analyzed, and a pedestrian-vehicle interaction (PVI) model at the crosswalk of urban road is established. Second, assuming that vehicle arrival obeys the Poisson distribution, the delay models of vehicle passengers and pedestrians crossing the street at the intersection are established, and taking the total delay of traffic participants as the main index, the setting condition of EPP are proposed. Third, based on the video of pedestrian-vehicle interaction at crosswalks, the parameters of the proposed model are calibrated. Through sensitivity analysis, the change of the total delay of traffic participants is analyzed under different conditions of pedestrian and vehicle arrival rates. Finally, by introducing pedestrian-vehicle interaction rules, a cellular automata (CA) simulation platform of pedestrian-vehicle interaction in crosswalk is established; based on the field data of Shanghai, a simulation model of intersection is established, and the total delay, queue length, and vehicle throughput under conventional signal control plan and EPP plan are compared. The results show that the pedestrian-vehicle interaction process has a great influence on the total delay of traffic participants at intersections, and pedestrian-vehicle interaction should be considered in the setting conditions of EPP. Under the same condition of vehicular flow, the more the pedestrian flow is, the smaller the delay increment will be. The higher the vehicle yielding rate is, the smaller the delay increment will be after setting EPP.