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Ecological risk assessment plays an important role in avoiding disasters and reducing losses. Natural world heritage site is the most precious natural assets on earth, yet few studies have assessed ecological risks from the perspective of world heritage conservation and management. A methodology for considering ecological threats and vulnerabilities and focusing on heritage value was introduced and discussed for the Bogda component of the Xinjiang Tianshan Natural World Heritage Site. Three important results are presented. (1) Criteria layers and ecological risk showed obvious spatial heterogeneity. Extremely high-risk and high-risk areas, accounting for 13.60% and 32.56%, respectively, were mainly gathered at Tianchi Lake and Bogda Glacier, whereas the extremely low-risk and low-risk areas, covering 1.33% and 17.51% of the site, were mainly distributed to the north and scattered around in the southwest montane region. (2) The level of risk was positively correlated with the type of risk, and as the level of risk increases, the types of risk increase. Only two risk types were observed in the extremely low-risk areas, whereas six risk types were observed in the high-risk areas and eight risk types were observed in the extremely high-risk areas. (3) From the perspective of risk probability and ecological damage, four risk management categories were proposed, and correlative strategies were proposed to reduce the possibility of ecological risk and to sustain or enhance heritage value.