With the rapid development of information technologies, industrial Internet has become more open, and security issues have become more challenging. The endogenous security mechanism can achieve the autonomous immune mechanism without prior knowledge. However, endogenous security lacks a scientific and formal definition in industrial Internet. Therefore, firstly we give a formal definition of endogenous security in industrial Internet and propose a new industrial Internet endogenous security architecture with cost analysis. Secondly, the endogenous security innovation mechanism is clearly defined. Thirdly, an improved clone selection algorithm based on federated learning is proposed. Then, we analyze the threat model of the industrial Internet identity authentication scenario, and propose cross-domain authentication mechanism based on endogenous key and zero-knowledge proof. We conduct identity authentication experiments based on two types of blockchains and compare their experimental results. Based on the experimental analysis, Ethereum alliance blockchain can be used to provide the identity resolution services on the industrial Internet. Internet of Things Application (IOTA) public blockchain can be used for data aggregation analysis of Internet of Things (IoT) edge nodes. Finally, we propose three core challenges and solutions of endogenous security in industrial Internet and give future development directions.