In order to avoid supervision and expand credit, commercial banks participate in shadow banking through channel business and interbank business, which results in the rapid development of shadow banking in China. In this context, it has a great significance on clarifying generation mechanism of the risk contagion and preventing systemic financial risk by exploring the relationship between commercial banks' participation in shadow banking and financial risk contagion. Based on the data of listed financial institutions from 2007 to 2017, this paper calculates the commercial banks' conditional value at risk, and uses PVAR model to analyze the impact of commercial banks' participation in the shadow banking on financial risk contagion. The result shows that shadow banking has a significant risk contagion effect on commercial banks, and this effect mainly results from the participation of commercial banks in shadow banking. Besides, the more shadow banking assets commercial banks hold through non-credit account such as "Accounts Receivable Investment" and "Redemptory Monetary Capital for Sale", the higher balance sheet association with shadow banking and the greater the risk contagion will be. Therefore, it suggests that we should pay full attention to the operation on commercial banks providing funds to the shadow banking through non-credit accounts, strengthen regulatory coordination and prevent regulatory arbitrage.