The PPP projects of urban rail transit are always characterized by multiple complex risks. Hence, in order to guarantee the successful implementation of PPP projects, the risk assessment method based on improved entropy weight and grey fuzzy theory is proposed. Firstly, the risk dynamic characteristics are considered, the Delphi method is used to identify the whole life cycle risk of the urban rail PPP project and the corresponding risk index system is established. And then the risk assessment model for urban rail transit PPP project is established by grey clustering combined with fuzzy comprehensive evaluation method; the risk index information transparency is realized by grey whitenized weight function; the comprehensive risk assessment value is calculated by fuzzy theory to determine the risk level of the project; and the subjective and objective weights are determined by improved entropy weight method combined with analytic hierarchy process. Finally, the model is applied to Qingdao Metro Line 3. The results show that the project risk level belongs to "medium"; and the model is rational and efficient; some corresponding countermeasures for risks are proposed too.