Implementing "the Belt and Road Initiative" to promote the interconnection of cross border power grid is one of the key points of the development of China′s power industry during the "13th Five-Year" period. The implementation of power grid interconnection projects, especially the transnational power grid interconnection projects, will inevitably become an important direction of investment in power grid. In order to evaluate the comprehensive benefits of such investments more fully and improve the accuracy of investment decisions, the comprehensive benefit evaluation index system of such projects is constructed from three aspects:economic, social and environmental benefits. In order to make full use of the subjective and objective information, the combination method of the only reference object comparison judgement and entropy weighting method is used to determine the index weight. At the same time, matter-element extension model improved by gray correlation is used to evaluate the comprehensive benefit of such projects. The research will help improving power grid corp′s decision-making level on transnational investment and lay the foundation for effectively guaranteeing equality and mutually beneficial cooperation among countries.