The new publishment of the Rule No. 599 puts more emphasis on the importance of customers to the power grid, so it is necessary to assess the risk of load-shedding from the perspective of power grid in the assessment and selection of main connection. Aiming at the uncertainty information in the evaluation process of substation main connection, this paper presents a comprehensive evaluation method of substation main connection based on set pair analysis and risk theory. The method evaluates the risk of substation main connection from the perspective of network layer firstly, and its results are used as the reliability evaluation indices of substation main connection. Then the weight coefficients of evaluation indices are obtained by improved entropy weight method, meanwhile, the uncertainty analysis is carried out by set pair analysis. Finally, the optimal scheme is selected by integrating the results of first and second order. Numerical examples show that the process of set pair analysis method is simple and intuitive. When used in substation main connection comprehensive evaluation, set pair analysis method is capable of processing uncertainty information easily, therefore it can provide some reference and basis for designers to select the substation main connection. This work is supported by Power Dispatch Control Centre of Guangdong Power Grid Corp. Ltd.