Based on the relevant data of 16 listed banks in China from 2008 to 2015, this paper tests the effect of the “The Belt and Road” strategy on bank risk by using two-way fixed effect model and further clarifies the heterogeneity of risk conduction between different banks by using panel DID model. The study finds that: The development of “The Belt and Road” is dependent on domestic banking industry support, thus leading to the passive tightening of the overall liquidity risk level of the domestic banking industry to some degree; In the progress of the market-oriented interest rate reform, the creasing risk self discipline and business innovation would help to ease the impact of “The Belt and Road” on bank risk; OFDI enterprises and financing structure are relatively single, the financing source of overseas investment projects in “The Belt and Road” is mainly concentrated on the five major state-owned banks, and it is not conducive to the sustainable development of “The Belt and Road ”;At this stage, the extent of the risk spread of banks is still not high, and the liberalization of finance and the market-oriented interest rate reform should be developing in depth.