NANXIAHUI, China—A missing Chinese billionaire who did business with the highest echelons of the Communist Party has previously undisclosed ties to China’s military.

Firms linked to Beijing’s formidable arms-trading conglomerate, China Poly Group Corp., executed at least three recent transactions involving the billionaire, Xiao Jianhua, including a $10 million donation to Harvard University, according to corporate filings and interviews with people familiar with the transactions.

The military connection casts new light on the business dealings of Mr. Xiao, who disappeared in late January from his residence in a luxury Hong Kong hotel, raising questions in China’s business community about the financier’s potential enemies and his fate.

Mr. Xiao, a 45-year-old naturalized Canadian citizen with vast holdings in banks, brokerages and a newspaper, crossed the border into mainland China almost three months ago, according to statements by Hong Kong police and his businesses.

He hasn’t been heard from since and couldn’t be reached to comment; his whereabouts isn’t known. It is unclear if he has a lawyer, and his businesses say they have no information about him. Chinese authorities have said nothing.