In this paper, we propose a novel training strategy called SupFusion, which provides an auxiliary feature level supervision for effective LiDAR-Camera fusion and significantly boosts detection performance. Our strategy involves a data enhancement method named Polar Sampling, which densifies sparse objects and trains an assistant model to generate high-quality features as the supervision. These features are then used to train the LiDAR-Camera fusion model, where the fusion feature is optimized to simulate the generated high-quality features. Furthermore, we propose a simple yet effective deep fusion module, which contiguously gains superior performance compared with previous fusion methods with SupFusion strategy. In such a manner, our proposal shares the following advantages. Firstly, SupFusion introduces auxiliary feature-level supervision which could boost LiDAR-Camera detection performance without introducing extra inference costs. Secondly, the proposed deep fusion could continuously improve the detector's abilities. Our proposed SupFusion and deep fusion module is plug-and-play, we make extensive experiments to demonstrate its effectiveness. Specifically, we gain around 2% 3D mAP improvements on KITTI benchmark based on multiple LiDAR-Camera 3D detectors.