It is of great practical significance to effectively identify the systemic risks and key driving factors of the “the Belt and Road”co-construction countries for the smooth realization of the deep integration of economies and finance of all countries. Based on the micro stock data and financial data of more than 1.5 million banks, this paper obtains the weights of three factors of systematic risk through the objective method of constructing a regression model in the stress period, and uses three factors of scale, leverage, and relevance to measure the banking systematic risk index at three levels of banks, the country, and the “the Belt and Road” national system under the same framework. The research results show that, from the perspective of system risk performance, the overall banking system risk of the“the Belt and Road” countries is significantly affected by the fluctuation of the global macro financial environment. In addition, the “the Belt and Road” countries will also experience an increase in systemic banking risks due to their own problems. Countries such as India, Vietnam, and Indonesia are systemically important with higher levels of systemic risk in their banking industry, while countries such as Hungary, Croatia, and Romania have lower levels of systemic risk in their banking industry. The countries with higher systemic risk in the banking industry mainly consist of banks with higher levels of systemic risk contribution, and the economic development and growth of various industries have a significant impact on systemic risk at the national level. From the perspective of risk driving factors, correlation factors are the main driving factors of systemic risk level changes in the banking industry, followed by scale factors and leverage factors.