There are many uncertainties which have the characteristics of high investment and high risk in coal-bed methane underbalanced drilling. On the basis of risk identification of coal-bed methane underbalanced drilling, it concludes that the drilling risks mainly lie in three aspects of coal rock properties, drilling fluid properties and wellbore stability. The hierarchical structure of drilling risk factors is established. According to the disadvantages of determining factor weight by traditional analytic hierarchy process, the method of determining risk factors weight based on triangular fuzzy numbers is proposed by introducing fuzzy mathematics. The memberships of qualitative and quantitative risk factors are determined respectively. The comprehensive drilling risk evaluation model for coal-bed methane underbalanced drilling is established. This model can evaluate the drilling risk objectively and quantificationally, determine the risk values of various underbalanced drilling risk factors, and supply the theoretical basis of decreasing and avoiding risk for coal-bed methane underbalanced drilling.