In the arid zone of northwest China, the Heihe River Basin (HRB), as a typical inland river basin, has a fragile regional ecological environment, obvious ecological degradation characteristics, and extremely serious problems in the utilization of agricultural land resources. Meanwhile, the shortage of water resources, the low reduction of land quality, and excessive agricultural activities have greatly increased the local water and land pressure. In this paper, firstly, using the Malmquist DEA model and coupling coordination degree model, the agroecological risk assessment system on account of the coupling of water and land resources (WLR) is constructed. Secondly, taking HRB from 1995 to 2020 as an example, we carry out spatial correlation analysis based on the degree of risk-correlated WLR. Thirdly, we analyze the evolution process and spatial correlation of ecological risk of agricultural WLR in the HRB at the county scale, then we conclude and put forward policy suggestions for improvement. The results show that: (1) On the whole, the average ecological risk of agricultural water resources in the HRB from 1995 to 2020 was 0.933, indicating that the risk was declining; the average ecological risk of agricultural land resources in the HRB from 1995 to 2020 was 0.938, indicating that the risk was declining also. (2) The degree of ecological risk coupling and coordination of agricultural soil and water resources upstream of the HRB is on the rise, while that in the middle and lower reaches is on the decline. (3) Through panel model analysis, the matching suitability of WLR drives agroecological risk. The correlation between them is positive. In conclusion, this method can effectively evaluate the agroecological risk of WLR and provide technical support for agricultural production and management in arid areas.