The contagion law of credit risk is very important for financial market supervision. In the financial market, the interaction between credit risk holders’ sentiment and credit risk is the important factor of credit risk contagion. The existing credit risk contagion models based on complex network theory assume that the credit risk contagion is exogenous, and only analyze the proportion of the individuals infected by the credit risk from a macro perspective. However, existing models cannot explain the coupling relationship between credit risk contagion and emotional contagion, and how individuals are infected from a microscopic perspective is not clear. In this work, the theory of propagation dynamics in complex networks is introduced into the study of coupling relationship between credit risk contagion and sentiment contagion, which can reflect the endogenous problem of credit default in the process of credit risk contagion. The model can analyze the evolution process of individual risk contagion and sentiment contagion in the network, and can effectively reflect the risk contagion degree of individual. The proposed model further analyzes the influence of network structure, individual risk attitude, individual risk resisting ability, and financial market supervision on credit risk contagion and sentiment contagion. The correctness of the model is verified by theoretical deduction and numerical simulation.