Pre-training has exhibited notable benefits to downstream tasks by boosting accuracy and speeding up convergence, but the exact reasons for these benefits still remain unclear. To this end, we propose to quantitatively and explicitly explain effects of pre-training on the downstream task from a novel game-theoretic view, which also sheds new light into the learning behavior of deep neural networks (DNNs). Specifically, we extract and quantify the knowledge encoded by the pre-trained model, and further track the changes of such knowledge during the fine-tuning process. Interestingly, we discover that only a small amount of pre-trained model's knowledge is preserved for the inference of downstream tasks. However, such preserved knowledge is very challenging for a model training from scratch to learn. Thus, with the help of this exclusively learned and useful knowledge, the model fine-tuned from pre-training usually achieves better performance than the model training from scratch. Besides, we discover that pre-training can guide the fine-tuned model to learn target knowledge for the downstream task more directly and quickly, which accounts for the faster convergence of the fine-tuned model.