From the country-of-origin legitimacy spillovers perspective, the impact of the Belt and Road Initiative on the foreign investment performance of Chinese firms was explored. Based on the overseas investment data of Chinese-listed enterprises, the time-varying difference-in-differences model was used as empirical tests. The results show that the Belt and Road Initiative has significantly positive impact on the investment performance of Chinese firms. The conclusion is still robust after using the alternative methods of propensity score matching and instrumental variables to alleviate the possible endogenous problems. The positive impact of the Belt and Road Initiative on the investment performance of firms in infrastructure sectors is more significant than that in non-infrastructure sectors. The positive impact of the Belt and Road Initiative is more significant for state-owned enterprises than the non-stated-owned enterprises. In terms of mechanism, the Belt and Road Initiative has a positive impact on the investment performance of Chinese firms by improving the country-of-origin legitimacy. The results have enlightening significance for improving investment performance of Chinese firms in the Belt and Road countries.