The Chinese bond market has achieved rapid development over the years. However, since the “rigid payment” in China was broken in 2014, the number and size of bond defaults have climbed up promptly and caused huge volatility in bond and even stock markets. To better manage and control the risk of the Chinese corporate bonds market, deep learning can be used as a helpful tool to predict the corporate default risk. This paper constructs a security warning model based on deep neural networks after a reasonable selection of characteristic indicators. By comparing Multi-Layer Perceptron (MLP) with the logistic regression method, it is found that MLP is more suitable in the security warning model to predict the default risk. And, hyper-parameter analyses and ablation study are conducted to explore the performance and accuracy of the best MLP settings. The experimental results show that the deep learning method accommodating the widely chosen factors in the security warning model is effective in predicting corporate bond defaults in China.