Under the multiple correlations of capital structure, equity structure and market value, this paper studies the multiple intermediary conduction effects of PE/VC shareholding on the company’s financial risk. The empirical test shows that the involvement of PE/VC has a significant role in aggravating the financial risks of its holding companies in China, and in the process of this influence, fluctuations in the company’s capital structure and market value will increase the financial risk, while the equity structure fluctuations can restrain the occurrence of financial risk. At the same time, the masking effect of equity structure fluctuations is the most significant, followed by capital structure fluctuations, and the masking effect of market value fluctuations is the weakest. In addition, the multiple mixed mediating effects of these three latent variables in the influencing process have differences in listed plates.