The correlation among the indices was not considered in the existing risk assessment of metro shield construction adjacent to buildings, and the experts′ hesitation degree was ignored as well. Hence, the decisionmaking and trial evaluation laboratory (DEMATEL) is used to determine the interlayer comprehensive impact relationship of the criteria; and an analytic network process (ANP) model is established to solve the subjective mixed weights of DEMATEL and ANP from the perspective of method innovation. And then the objective weights are calculated by the entropy weight method; the smallest sum of squared deviations of the subjective weights and the objective weights is taken as the objective function to solve the combination weight. Finally, the construction risk assessment is performed using the vague set method considering a certain degree of hesitation of the experts. The calculated risk level of the An′an Section on Qingdao Metro Line 1 is consistent with the actual project, which verifies the practicality of the above mentioned method.