This paper empirically analyzes the influence of export experience on Chinese Outward Foreign Direct Investment (OFDI) in the Belt and Road countries, based on the panel data of 45 countries from 2003 to 2014. The research shows that export experience significantly promotes Chinese OFDI in the Belt and Road countries. Furthermore, the promoting effect of export experience on Chinese OFDI increases with the improvement of host country’s governance level. The export experience is more effective in the Sea Road countries than that in the Silk Road countries, while energy endowments did not directly or indirectly affect the role of export experience on OFDI. These conclusions indicate that enterprises can reduce external investment risks by establishing export learning curve and making investment decisions according to the curve.