An in-depth study of the trade effects and mechanisms of Internet infrastructure in countries along "The Belt and Road" is important for China to optimize the layout of Internet infrastructure construction in countries along "The Belt and Road", to effectively stimulate trade effects, and to deal with the negative impact of the world trade environment. Based on the perspectives of trade cost and total factor productivity (TFP), this paper constructs panel data between China and 45 countries along "The Belt and Road" from 2007 to 2017, and empirically examines the trade effect of the Internet infrastructure of countries along "The Belt and Road" using the mediation effect model. The overall test results show that the Internet infrastructure of countries along "The Belt and Road" is conducive to bilateral trade between China and those countries, and the trade effect is mainly achieved by reducing trade costs rather than increasing total factor productivity. Heterogeneity test results show that Internet infrastructure has obvious trade effects regardless of the difference in trade direction or economic development of countries along "The Belt and Road". The intermediary effect of trade cost mainly occurs in the import and export trade of developed countries to China, and the intermediary effect of total factor productivity mainly occurs in the export trade of countries to China and the import and export trade of developing countries to China. In the new situation, China should take part in the construction of the Internet infrastructure along "The Belt and Road" and pay attention to the rational layout and grasp the intensity of construction, not only cultivate the new kinetic energy of trade growth, but also optimize the structure of import and export trade.