Comparing and analyzing the factors affecting the investment scale and investment efficiency of 35 countries along the "Belt and Road" between 2006 and 2016, we hope to provide a reference for China to improve investment efficiency. To avoid the effect of unobserved heterogeneity on the velocity measurement of efficiency values, the model in stochastic frontier analysis is used in this article. The results show that the market size and economic stability of the countries along the route are conducive to promoting investment in the two countries, and labor costs are negatively related to the investment scale of the two countries. However, factors such as infrastructure level, geographical distance, and institutional distance have different effects on the investment scale of the two countries. Among the factors that affect investment efficiency, voice and accountability, government efficiency, regulatory quality, and government stability are all conducive to improving the investment efficiency of the two countries. The legal system and the degree of corruption control are inversely proportional to China's investment efficiency, but proportional to the US investment efficiency. In general, the investment efficiency of the United States is higher than that of China, but the overall difference in the value of investment efficiency between the two countries is not large.