Bayesian network (BN) inference is an important statistical tool with additive symmetry. However, BN inference cannot deal with the uncertain, fuzzy, random, and conflicting information from experts’ knowledge in the process of conducting a risk assessment. To tackle this issue, a new fuzzy BN inference approach for risk assessments was proposed based on cloud model (CM), interval type-2 fuzzy set (IT2 FS), interval type-2 fuzzy logic system (IT2 FLS), modified Dempster–Shafer (D-S) evidence theory (ET), and Latin hypercube sampling (LHS) methods along the following lines. Firstly, CM was integrated into IT2 FS, and CM-based IT2 FS (CM-IT2 FS) was defined in the IT2 FLS. Secondly, modified D-S ET was utilized to determine the CM-IT2 FS-based a priori probabilities, and the CM-IT2 FS-based BN model was established. Thirdly, the CM-IT2 FS-based a priori probabilities were reduced to the CM-IT1 FS-based ones using a type reducer in the IT2 FLS, LHS was applied to propose a new fuzzy BN inference algorithm, and then, the new algorithm was used in a typical case to perform the fuzzy BN positive inference for risk prediction and the fuzzy BN reverse inference for risk sensitivity analysis. Finally, the BN inference results were analyzed using the proposed algorithm and the two common BN inference algorithms, and the effectiveness of the proposed approach was validated. It can be concluded that the proposed approach was both accurate and promising.