While the urban rail transit systems have been developed rapidly, the nearby heritage buildings and historic sites are facing possible threats of unexpected damages. In particular, a rail project has a potential impact on numerous heritage buildings and sites in an old city. Thus, to better protect these heritage buildings and sites, it is crucial for decision-makers to be able to rapidly and accurately evaluate these threats. Based on Set Pair Analysis (SPA) theory, this study developed a risk assessment model to assess the safety of heritage buildings adjacent to metro construction. In this model, the risk levels of adjacent heritage buildings are ranked. Moreover, this study establishes an assessment index system comprising 16 individual indexes among four categories related to heritage building, metro, soil, and management. The index system determines the interval values for each evaluation factor. To improve the reliability of the index weight, a linear weighting method was adopted. In this study, both subjective weights calculated via the Analytic Hierarchy Process (AHP) and objective weights calculated by the Clustering Weight Method (CWM) are analyzed comprehensively. Moreover, a case study was conducted by applying the proposed assessment model into assessing the structural safety risk of a heritage building adjacent to the Zhengzhou Metro Line Three. It was found the results of the proposed model were consistent with the Matter-Element (ME) method. The proposed model can be used to provide decision-making support for controlling risk on similar projects.