This paper deals with the urgent problem of urban natural gas shortage. In order to improve emergency efficiency, enhance emergency efforts, and reduce urban disaster losses, the differential game theory is firstly applied for constructing a tripartite dynamic game model. Then, based on the Hamilton–Jacobi–Bellman (HJB) equation, the optimal effort degree, natural gas energy shortage, and maximum urban loss are obtained in three cases, i.e., spontaneous governance mode, superior dominant mode, and cooperative mode. The results show that the effort of provincial government, local government, and natural gas emergency enterprise is positively related to the emergency shadow, the impact of effort and natural gas energy attenuation coefficient of provincial government, local government, and enterprise, but it is negatively related to the emergency cost coefficient and the discount rate. From the perspective of emergency shortage and total urban loss, the government-enterprise cooperation mode turns out to be the best emergency mode, while the spontaneous governance mode remains the worst. At the same time, the government implements subsidies and incentives for nongovernmental organizations involved in emergency response, which is more conducive to the emergency of natural gas shortage in heavily suffering cities.