The evolution of financial structure is not only a persistent issue but also a key factor affecting the financial risk. Concerns over the financial structure evolution and risk prevention have been voiced, but studies documented the interaction between financial risk and financial structure are still in their infancy. Therefore, this study investigates it by using detrended cross-correlation analysis, its multifractal asymmetric version, and detrended cross-correlation based on time-delay. Empirical research finds that the market-based financial structure increases financial risk in China. The characteristics of financial risk and financial structure are asymmetry, multifractal, bidirectional transmission, and nonlinear causality. The financial structure's influence on financial risk is strengthened within 15 months, while financial risk's influence on the financial structure strengths within 7 months. These findings support financial supervisory authorities to seek effective strategies to facilitate the evolution of the financial structure and establish a more stable financial system.