The Nanfei River (Anhui Province, China) is a severely polluted urban river that flows into Chaohu Lake. In the present study, sediments were collected from the river and analyzed for their heavy metal contents. Multivariate statistics and the fuzzy comprehensive assessment method were used to determine the sources of pollution, the current pollution status, and spatial and temporal variations in heavy metal pollution in sediments. The concentrations of arsenic (As), cadmium (Cd), chromium (Cr), copper (Cu), mercury (Hg), nickel (Ni), lead (Pb), and zinc (Zn) in sediments ranged from 5.67–113, 0.08–40.2, 41.6–524, 15.5–460, 0.03–4.84, 13.5–180, 18.8–250, and 47.9–1 996 mg/kg, and the average concentrations of each metal were 1.7, 38.7, 1.8, 5.5, 18.8, 1.3, 2.5, and 11.1 times greater than the background values, respectively. Multivariate statistical analysis demonstrated that Hg, Cu, Cr, Cd, and Ni may have originated from industrial activities, whereas As and Pb came from agricultural activities. The fuzzy comprehensive assessment method, based on the fuzzy mathematics theory, was used to obtain a detailed assessment of the sediment quality in the Nanfei River watershed. The results indicated that the pollution was moderate in the downstream tributaries of the Nianbu and Dianbu Rivers, but was severe in the main channel of the Nanfei River and in the upstream tributaries of the Sili and Banqiao Rivers. Therefore, sediments in the Nanfei River watershed are heavily polluted and urgent measures should be taken to remedy the status.