In the supply chain finance service, banks face in various types of small and medium-sized enterprises in supply chain. In order to evaluating supply chain finance risks reasonable, we should consider about not only the enterprise internal risks, but also the risks of enterprise external and the impact of supply chain. This paper according to the differences of small and medium enterprises, combined with the characteristics of supply chain, constructs the loan risk identification and evaluation system of supply chain finance. We use Entropy weight method to calculate the weight of evaluation vectors, and Fuzzy comprehensive evaluation method is used to determine the membership function. Through the example of verification, the system gets a good result.