The high renewable energy penetration power grid at sending end is widely distributed in China and their safety risks are existed and can not be ignored. Currently, there is no specific model and indicator system for its risk assessment while the traditional risk assessment method is also difficult to conduct a quantitative risk assessment. Under the background, a relatively complete evaluation index system is constructed for the high renewable energy penetration power grid at sending end, and a fuzzy comprehensive evaluation method is proposed based on the entropy weight method. The entropy weight method is utilized to determine the weight of each index. The degree of membership is determined by the improved triangular trapezoidal membership function and the comprehensive evaluation results are obtained through fuzzy comprehensive evaluation. This paper analyzes an example of the high renewable energy penetration power grid at sending end. The analysis results show that the proposed method can effectively evaluate the risk degree of the power grid at sending end and provide a basis and reference for the actual operation of the power grid.