The Belt and Road has developed rapidly in recent years. Constructing a comprehensive traffic network is conducive to promoting the development of the the Belt and Road. To optimize the layout of the Belt and Road comprehensive traffic network, this paper identifies important cities. First, a weighted super adjacency matrix is defined, which includes sea, air, railway transportation and trans-shipment transportation between these transportation modes. With this matrix, the Belt and Road comprehensive traffic network (B&RCTN) is constructed. To identify important node cities, this paper proposes a method to calculate multi-layer centrality which considers inter-layer relationships. With the results of the above four centrality indexes, the Entropy Weight TOPSIS is used to synthesize the evaluation of the four indexes. Finally, the multi-layer comprehensive centrality rank of node cities is obtained. Result shows that there are 72 important cities in B&RCTN. These important cities are mainly distributed in the east and west of Eurasia. Eastern cities are located in East Asia and Southeast Asia, including 36 cities such as Singapore, Shanghai, Guangzhou, Shenzhen and Hong Kong. Western cities are concentrated in West Asia, Western Europe and North Africa along the Mediterranean coast, including 31 cities such as Istanbul, Dubai, Vienna, Trieste and Koper. There are few important cities in central Eurasia, except Almaty in Central Asia and Colombo in South Asia. In addition, important cities also include Moscow in Eastern Europe, Lagos and Lome in West Africa. Finally, based on the distribution of important cities, this paper puts forward some suggestions on the development of the Belt and Road comprehensive transportation.