Under the background of “Belt and Road Initiative”, railway project, as an important part of infrastructure connectivity, are welcomed and attached great importance to. Potential risk should be analyzed for international railway projects. This paper identifies major risks for “going global” projects, and classifies them into different category of economic risks, political risks, safety risks and demand risks by building up risk index system for railway going global, and then quantitatively evaluates comprehensive risk level of each country by adopting entropy method.