Leverage instability is an important potential for systemic financial risk outbreaks, and thus how risk identification is conducted is of significant importance in times of financial turmoil. This paper first selects a time varying parametric structural vector auto-regressive model (SV-TVP SVAR) to identify the shock effects of leverage fluctuations on systemic risk, and complements the analysis with several “deleveraging” policy points in China. The generalized forecast error variance decomposition model (Tvpdy) is then used to dynamically characterize the internal correlation effect of systemic risk under the influence of leverage in order to analyze the “outside-in” risk movements under the influence of leverage. The study shows that, on the one hand, there is a heterogeneous shock impact of leverage volatility on systemic financial risk, with the most significant short term effects. While external market and currency flow risks have accumulated in recent years, macroeconomic and asset bubble risks have been suppressed cyclically. Among them, the “domestic demand expansion” deleveraging initiatives can effectively mitigate the current macroeconomic and external market risks, while the “risk prevention” measures have a more robust dampening effect on the overall risks. On the other hand, the internal spillover effects of systemic risk under leverage shocks are significant. Each sub-risk is mostly a net importer of risk, and the spillover effect is more significant in periods of abnormal leverage volatility such as economic overheating or financial crisis. There is a significant tendency for external market risk to arise, while the direction of macroeconomic risk spillovers shifts from input to output.