Facing with the more and more complicated economic circumstances, how to recognize and evaluate risk in economical activities of state-owned enterprises has been an importance issue needing the administrators concern. Because of it, this paper combines the features of the state-owned enterprises to analyze main risk factors during the running of the enterprises and constructs a set of comprehensive evaluation index, and based on this design a set of risk evaluation system by utilizing fuzzy analytical hierarchy process. Because this evaluation system is easy to be operated and is the same with solving such multi-level index evaluating problems as incapable quantization of risk evaluating index and difficult judgment to index weight, which has the referential significance to the risk management in state-owned enterprises.