Driven by the “One Belt and One Road” trade, overseas engineering projects have become the embodiment of cooperation with countries along the “One Belt and One Road”, thus bringing frequent material exchange of cross-border supply chains among countries. In order to achieve smooth and rapid development of cross-border supply chain, reduce risks and strengthen control, it is necessary to screen the risk factors of cross-border supply chain, establish a system and make correct and reasonable evaluation. In this paper, PEST method is adopted to analyze the risk factors of external cross-border supply chain of energy enterprises under the background of “One Belt and One Road”, and corresponding evaluation index system is established. The risk evaluation model of external cross-border supply chain was established by combining the rough set theory and support vector mechanism, and the risk evaluation model of phoenix risk was used to comprehensively evaluate the risk of cross-border supply chain along the “Belt and Road”, and corresponding countermeasures were put forward.