With the rapid development of urban rail transit systems, the safety of nearby heritage buildings and historic sites is threatened. To better protect these heritage buildings and sites, it is crucial to be able to rapidly and accurately evaluate these threats, especially when a rail project has a potential impact upon numerous heritage buildings and sites in an old city. Based on set pair analysis (SPA) theory, this paper presents a risk assessment model to assess the safety of heritage buildings adjacent to metro construction. First, the risk level of adjacent heritage buildings is graded. Second, this study establishes an assessment index system comprising 16 single indexes among four categories related to heritage building, metro, soil, and management, and determines the threshold for the level of corresponding risk for each evaluation factor. To improve the reliability of the index weighting, a linear weighting method is adopted, which comprehensively considers subjective weights calculated by the analytic hierarchy process and objective weights calculated by the clustering weight method. Finally, the proposed SPA model is verified by using it to assess the structural safety risk of a heritage building adjacent to the Zhengzhou Metro Line Three. By extracting the field measured data at different survey points on the metro line, the risk levels of the heritage building in the shield tunneling process are evaluated, and the results verify the feasibility of the SPA model. The proposed SPA method can provide decision-making support for controlling risk on similar projects.