In order to deal with the problems of traditional e-banking risk measurement and early warning methods, such as low accuracy of e-banking risk measurement and longer early warning time, an e-banking risk measurement and early warning method based on the GMDH algorithm is proposed. This scheme mines the e-banking risk measurement and early warning indicators by the GMDH algorithm, and it will input the influencing factors and risk factors as independent variables into the GMDH modeling network and then input the e-banking business growth rate as the dependent variable into the GMDH modeling network which is standardized by the normative method of processing the e-banking business risk measurement and early warning index data. According to the processing results, it calculates the weight of the measurement and early warning index by the entropy method, and it constructs the e-banking risk measurement model with the genetic algorithm which can help to calculate the optimal solution of the parameters, formulate the risk measurement interval, and determine the risk in order to realize the risk warning of electronic banking business. The simulation results show that the proposed method has a higher accuracy of e-banking risk measurement and a shorter warning time.