Regional energy risk refers to the possibilities of economic and social losses caused by the uncertainties of the energy supply, consumption, use, policy, and environment. The paper discusses Shanghai's energy risk identification from the aspects of energy supply, energy consumption and the externalities of energy use. In general, Shanghai increasingly dependents on external energy resources, however, Shanghai's renewable energy accounts for less than 1% of primary energy sources, and has a certain supply risks; there is a significant positive correlation between Shanghai's economic growth and energy consumption. Shanghai's Fossil energy consumption accounts for over 90% of the energy consumption structure, which causes environmental pollution, especially the primary reason to cause atmospheric pollution, therefore, there is a large risk of externality. Looking to the future, Shanghai's energy risk will not change greatly in the short term, but the risk controllability will be gradually increased. In order to effectively prevent risks, Shanghai must be through changing of the developing model to systematically reduce energy risk; developing the distributed energy supply system at the same time, vigorously developing renewable energy and increasing the proportion of renewable energy of Shanghai's energy structure to prevent and control of the source of energy risk; besides, developing energy service, and paying attention to rely on professional energy services company to achieve the energy saving of the entire process; strengthening prevention and control from the sides of energy production and consumption, and reducing the negative impact of energy consumption on the environment.