Agricultural product futures market is an important component of financial market and plays an important role in the world economy. Taking the yield series of four agricultural products futures prices of corn, wheat, soybean and soybean oil of Chicago Futures Exchange as the research object, using the methods of cross-correlation statistics, multifractal analysis and connectivity frequency analysis, this paper empirically studies the cross-correlation of price fluctuation in agricultural futures market in the United States and the size of market risk. The results show that there is an interactive correlation between the price-return series of American agricultural products futures market, and the correlation has different multifractal characteristics, which result from the long-range correlation between small fluctuations and large fluctuations and the fat tail distribution of the series. The investment portfolio of different futures varieties contains different risks, among which the risk of corn/soybean is the biggest but the risk of wheat/soybean oil is the smallest. Agricultural futures market has weak connectivity. Soybean contributed the most to the system, followed by corn.