In recent years, the injection of factual knowledge has been observed to have a significant positive correlation to the downstream task performance of pre-trained language models. However, existing work neither demonstrates that pre-trained models successfully learn the injected factual knowledge nor proves that there is a causal relation between injected factual knowledge and downstream performance improvements. In this paper, we introduce a counterfactual-based analysis framework to explore the causal effects of factual knowledge injection on the performance of language models within pretrain-finetune paradigm. Instead of directly probing the language model or exhaustively enumerating potential confounding factors, we analyze this issue by perturbing the factual knowledge sources at different scales and comparing the performance of pre-trained language models before and after the perturbation. Surprisingly, throughout our experiments, we find that although the knowledge seems to be successfully injected, the correctness of injected knowledge only has a very limited effect on the models’ downstream performance. This finding strongly challenges previous assumptions that the injected factual knowledge is the key for language models to achieve performance improvements on downstream tasks in pretrain-finetune paradigm.