As a tool that can effectively support ecosystem management, ecological risk assessment is closely related to the sustainable development of ecosystems and human well-being and has become an active area of research in ecology, geography and other disciplines. Taking Dujiashi Gully for the study of gully loess erosion, a comprehensive risk assessment system for identifying risk probability, sensitivity and impairment was established. The spatial distribution of comprehensive ecological risk was analyzed, the ecological risk management categories were simultaneously delineated based on the risk dominant factor and the risk management strategies were formulated in loess regions. The results were as follows: (1) the spatial differences in comprehensive ecological risk were significantly different in the research area. The regions with extremely high and high risk were mainly located in gully areas and secondary erosion gullies, which are in 28.02% of study area. The extremely low-risk areas covered 1/3 of the study area and were mainly distributed to the northwest and south of the study area, where hills are widely spaced. (2) The combined analysis of ecological risk and terrain found that the elevation decreased first and then rose but the comprehensive ecological risk increased first and then decreased from north to south. Comprehensive ecological risk and terrain generally showed an inverse relationship. (3) The study area was divided into four types of risk management categories. Risk monitoring zones, habitat recovery zones, monitoring and recovery zones and natural regulation zones encompass 14.84%, 12.44%, 26.47% and 46.25% of the study area, respectively. According to four types of risk management categories, different risk reduction measures were designed to improve regional sustainable development capacity. Risk identification and risk management categories based on comprehensive ecological risk model can design a sustainable development path for social ecosystem and local farmers and provide a method for sustainable development for similar gully landscapes.