Based on panel data from 2009 to 2021, covering 30 provinces in China, we have been constructed the Rural Financial Risk Index using the objective entropy weighting method to study rural financial risk in China systematically from the perspective of spatial distribution. Specifically, we discuss the spatial distribution, regional differences and dynamic evolution of rural financial risk across Chinese four different regions divided into the Northeast, East, Central and West. It’s found that Local government debt and Land transfer income are the two primary determinants influencing the level of rural financial risk in China. Furthermore, we conclude the ranking value of rural financial risk across four regions that the central exhibits the highest level, followed by the West, the East, and finally the Northeast, where the reasons for such ranking results as follows. Firstly, although the highest level of risk among provinces in the West is equivalent to that in the Central, there exists a smaller minimum rural financial risk in the former compared to the latter. Then, it should be noted that there’s a low-low agglomeration of rural financial risk in the Northeast, while it demonstrates a high-high agglomeration in the Central according to the Moran Index test analysis. Again, there’s a declining trend in rural financial risk disparity within the region and an upward trend is observed when comparing different regions (except the East vs West), especially increase largely between the Northeast and Central in past two years after analyzing the decomposition of Dagum Gini coefficient. Moreover, we study the absolute differences and dynamic evolution in different four regions through three-dimensional diagram of kernel density estimation, and it’s found that the change of rural financial risk in four regions moved to the right as a whole, while the tail distribution remains inconspicuous. The absolute difference is diminishing in the Northeast, and the two-level differentiation characteristics tend to weaken as a whole in the Central, with a disordered wave peak height observed in both the East and West. Finally, the article presents pertinent policy implications but limitations according to the research findings.