In this paper, we study the application of Test-time domain adaptation in semantic segmentation (TTDA-Seg) where both efficiency and effectiveness are crucial. Existing methods either have low efficiency (e.g., backward optimization) or ignore semantic adaptation (e.g., distribution alignment). Besides, they would suffer from the accumulated errors caused by unstable optimization and abnormal distributions. To solve these problems, we propose a novel backward-free approach for TTDA-Seg, called Dynamically Instance-Guided Adaptation (DIGA). Our principle is utilizing each instance to dynamically guide its own adaptation in a non-parametric way, which avoids the error accumulation issue and expensive optimizing cost. Specifically, DIGA is composed of a distribution adaptation module (DAM) and a semantic adaptation module (SAM), enabling us to jointly adapt the model in two indispensable aspects. DAM mixes the instance and source BN statistics to encourage the model to capture robust representation. SAM combines the historical prototypes with instance-level prototypes to adjust semantic predictions, which can be associated with the parametric classifier to mutually benefit the final results. Extensive experiments evaluated on five target domains demonstrate the effectiveness and efficiency of the proposed method. Our DIGA establishes new state-of-the-art performance in TTDA-Seg.