Based on the dual perspective of non-market environment and market environment, relationships between Chinese firms’ political capability and corporate social responsibility to deal with the constraints of non-market environment, market capability to deal with the constraints of product market environment, and location investment in developing countries with risky “Belt and Road” extension have been explored. The results show that: ①the stronger the political and market capability of Chinese firms, the more likely they are to invest in host countries with higher political risks; ②the interaction of dual capability has the effect of synergistically urging firms to invest in locations with high political risks; ③mandatory/social corporate social responsibility enhances the positive impact of political and market capability on firms’ risk location investment compared to instrumental/economic CSR. The analysis of heterogeneity shows that compared with firms adopt the situational political activity model and new firms, the firms that adopt the systemic political activity model and mature firms are better at exerting the combined effect of dual ability to invest in higher political risk locations. The findings have enlightening significance for the decision-making of Chinese firms’ foreign investment location selection.