With the rapid advancement of the tourism, the capital demand of tourism enterprises has gradually risen, but the confusion of market management has increased the difficulty of risk assessment of tourism enterprises by financial institutions, which has led to difficulties in financing tourism enterprises and seriously hindered their development. On this basis, this research first analyses the risk structure of the tourism supply chain (TSC) from the financial aspect and establishes a relevant risk assessment system. After confirming the assessment indexes, the data is dativized and normalized, and finally a multi-level deep neural network (DNN) is used to construct a TSC risk prediction model to calculate the transformed indexes and assess the risk degree of the enterprise according to the results. The experimental results indicate that the model has the best performance when the H-Net hidden layer is 3 layers and the L-Net hidden layer is 4 layers, and its accuracy reaches 93.35%, sensitivity reaches 84.13%, convergence starts at 25 iterations, the final loss value is only 0.8, and the predicted and the real value error is within 2.5%. Therefore, the multi-level DNN model constructed in this experiment has certain application value in TSC risk management.