The agricultural climate risk in the geographical transitional zones is very sensitive to climate change. Based on previous researches, this article established the cotton climate suitability model and the risk index to analyze the cotton climate risk degree in Henan Province. The result shows that, in the last 40 years, the cotton climate risk degree has a gradual increasing trend in which the precipitation plays a very important role, and the climate suitability and its deviation have different performances in the influence on the risk change in different phases; the increase rate of risk degree has significant regional and transitional characteristics, for example, from the eastern plain to the western mountains, the risk change rate becomes slower and slower, so the contrast between the central-southern Huang-Huai plain and the Funiu mountains is the most remarkable; and in the north-south direction, the contrast between the fast increase belt from the central-southern Huang-Huai plain to the middle Yellow River and the slow increase belt near the Yellow River is particularly remarkable, which is possibly the results of topographic and climatic transitional belt; and the risk change process also has obvious regional difference. For instance, abrupt change is an important characteristic in eastern Henan where this sudden change type has notable latitudinal difference, while in the western mountainous area it is very rare. Although the temperature change over the 40 years is still increasing in this area, the trend has reduced gradually since the end of the 1980s.