The invention discloses a method and a device for building a customer credit comprehensive evaluation system. The method comprises the following steps: setting inherent property evaluation, previous credit evaluation, basic credit evaluation and credit factor evaluation dimensions, and setting evaluation indicators for each evaluation dimension; determining the weight of each evaluation indicator in inherent property evaluation based on an analytic hierarchy process; calculating the weight of each evaluation indicator in previous credit evaluation and the weight of each evaluation indicator in basic credit evaluation based on an entropy method and an analytic hierarchy process respectively, and acquiring the weight of year in previous credit evaluation based on the Newton's law of cooling; determining the adjusting rule corresponding to each evaluation indicator in credit factor evaluation; and determining the weight of each evaluation dimension based on an analytic hierarchy process. Through multi-dimensional evaluation, the situation of customers is considered comprehensively. By combining subjective and objective weighting methods, the weight of each indicator in each evaluation dimension and the weight of each dimension are obtained. A scientific and comprehensive power customer credit evaluation system is provided.