Because of the uncomprehensive design theory of foundation pit, the variation of surface strata, and the emergence of many other unexpected problems, there are many uncertainties causing the cost risk of deep foundation pit construction. Based on the multi-level grey theory, this paper predicts the cost risk during the construction phase of building foundation pit engineering. Considering the correlated indexes, the evaluation and prediction of cost risk management of foundation pit engineering during the construction phase are studied in details. By using a case study of a certain foundation pit engineering project in Shanghai, the cost risk during the construction stage of foundation pit is evaluated and predicted from multi levels, with corresponding control methods given. The research results can provide theoretical guidance for the prediction and evaluation of the cost risk of building foundation pit engineering.