During the planning and construction process of a multi-energy coupled microgrid, various risks may be encountered. Conducting a reasonable risk analysis and evaluation for its planning and construction can help avoid unnecessary losses. This article first provides a detailed analysis of the risks faced in the planning and construction of multi-energy coupled microgrids and establishes a risk assessment index system. Then, it proposes an evaluation method for the planning risks of multi-energy coupled microgrids. This method calculates the weights of risk indicators using the analytic hierarchy process (AHP). Via the risk matrix method combined with Delphi method, the comprehensive risk value can be calculated for the planning and construction of multi-energy coupled microgrids. With the proposed method, comprehensive risk assessments are performed on two case studies to demonstrate the feasibility of the method. By comparing the risk indicator scoring results of the two planned cases, the characteristics of multi-energy coupled microgrids are revealed.