Since the Belt and Road Initiatives was put forward, the enthusiasm of Chinese enterprises’“going global”has never been higher. Enterprise practices in recent years have shown that many gaps in the understanding of many aspects of risk factors in the countries along the Belt and Road have made Chinese enterprises face many risks in“going global”to invest. Based on the panel data from 2012 to 2018, this paper selects 63 countries and regions along the Belt and Road and 45 factors. This paper uses principal component analysis to evaluate the total risk, regional groupings, and time trends of countries in this time period. The robustness analysis shows that the ranking of this comprehensive risk is robust, and the evaluation results have strong credibility and scientificity. The paper provides a quantitative decision-making reference for Chinese enterprises’foreign investment risks in the Belt and Road countries and regions.