Abstract: Based on the theory of entropy, from political factors, economic factors, infrastructure as well as factors of production, it conducted a comprehensive evaluation to investment environment of Central Asian countries and brief analysis of the relationship between the five Central Asian countries investment environment and the absorption of FDI (Foreign Direct Investment).In background of The Silk Road Economic Belt,in order to provide reference for China direct investment in Central Asian countries. Results showed that:(1) Kazakhstan's overall investment environment is superior, Uzbekistan, Turkmenistan, Kyrgyzstan is in the Middle, and Tajikistan’s the overall investment environment is poor;(2) From the economic, political, infrastructure and production factors, the in-vestment environment in Kazakhstan has been outstanding in every index, other four advantage is not the same ;(3) The advantages and disadvantages of the investment environment in the five Central Asian countries has evidently influence to absorption of COFDI and Global FDI.