In order to analyze the effect of water supply security of Yunnan water system interconnection project, a method of “three layers and four levels” water system interconnection supply and demand balance analysis was proposed on the basis of traditional three times of water resources balance method combined with the demand of fine water resources management. The analysis results show that with the development of economy and society, the growth of water use and the spatial imbalance of water resources are caused. By 2030, the contradiction between supply and demand of water resources will be more acute. The water shortage rate after the first time supply and demand balance is 40.3% and that after the second time supply and demand balance is 20.4% only by using water saving measures in the region. Water supply security is seriously threatened. However, through the rational distribution and water supply of water system connection projects, the analysis of supply and demand balance of all levels of connection projects shows that the four levels of connection projects can reduce the water shortage to 1.156 billion m³ and the water shortage rate to 5.3%. Connection projects play an important role in ensuring water supply safety in Yunnan Province.