For the problem of incomplete and untimely acquisition of credit information of the parties of water conservancy construction market and in view of the asymmetric information game theory based on information asymmetry, an incentive mechanism model for the credit information sharing in water conservancy construction market is studied and formulated. The game theory is used to analyze the credit information sharing behavior between the government and the water conservancy construction units and that among various construction units. The research shows that the construction units with good or poor credit tend to choose the credit information sharing when the government gives certain rewards, and the optimum incentive coefficient is related to the cost coefficient of the credit information sharing and the risk aversion degree of the parties of the water conservancy construction market. The research results may lay the foundation for dynamic credit management of the water conservancy construction market and provide the basis for further researches on the related issues.