Numerous subway projects are planned by China's city governments, and more subways can hardly avoid under-crossing rivers. While often being located in complex natural and social environments, subway shield construction under-crossing a river (SSCUR) is more susceptible to safety accidents, causing substantial casualties, and monetary losses. Therefore, there is an urgent need to investigate safety risks during SSCUR. The paper identified the safety risks during SSCUR by using a literature review and experts' evaluation, proposed a new safety risk assessment model by integrating confirmatory factor analysis (CFA) and fuzzy evidence reasoning (FER), and then selected a project to validate the feasibility of the proposed model. Research results show that (a) a safety risk list of SSCUR was identified, including 5 first-level safety risks and 38 second-level safety risks; (b) the proposed safety risk assessment model can be used to assess the safety risk of SSCUR; (c) safety inspection, safety organization and duty, quicksand layer, and high-pressure phreatic water were the high-level risks, and the onsite total safety risk was at the medium level; (d) management-type safety risks, environment-type safety risks, and personnel-type safety risks have higher expected utility values, and manager-type safety risks were expected have higher risk-utility values when compared to worker-type safety risks. The research can enrich the theoretical knowledge of SSCUR safety risk assessment and provide references to safety managers for conducting scientific and effective safety management on the construction site when a subway crosses under a river.