Chinese commercial banks have been expanding their business to countries along the Belt and Road in support of the internationalization of the RMB. However, we find that, in returns, the internationalization of the RMB raises the operational risks of Chinese commercial banks. The impact of RMB internationalization on the operational risk of the banks is heterogeneous, depending on the degree of trade openness of the country where the bank is located, as well as the individual bank’s asset size. In addition, the operational capacity of the bank and the bilateral trade volume play a moderating role in this process. As a result, an enhancement of banks’ operational capacity and an increase of bilateral trade volume can mitigate this impact.