Financial risk identification methods are often based on financial statement analysis and financial index calculation, and it is difficult to guarantee the accuracy of identification results when dealing with a large number of complex relationships, therefore, a financial risk identification method based on deep learning and neural network is proposed. Multiple risk indicators are selected, indicator data is collected and pre-processed, deep learning is combined with neural network to build network model, and the model is trained by sample data to realize financial risk identification. The experimental results show that the accuracy of the designed method is as high as 98.24%, which confirms the superiority of deep learning and neural network in financial risk identification.