In order to make the verification of relay protection setting more efficient and reasonable, online checking sequence is determined according to the comprehensive importance of relay protection. Most of existing protection importance assessment methods fail to present a full view. To solve the problem, this paper takes the importance of network location of the protection and the severity of protection failure into account, and then the evaluation model of protection comprehensive importance is constructed. Firstly, branch importance is presented by the active power betweenness of branch to quantify the importance of the branch which the protection located at. Then, based on protection fault chain model and risk theory, the severity of protection failure is proposed to quantify the risk consequence of the chain of protection failure. Finally, coordination degree of protections is proposed to quantify the topological vulnerability of protection location. In order to compensate the limitation of the single weighting method, the weights of each index are obtained by combinational weighting method of relative entropy, and then the comprehensive importance index of protection is obtained. Compared with the existing methods, this method evaluates protection importance more comprehensively, making the online checking sequence of protection setting more reference significance. In the end, the effectiveness and comprehensiveness of the proposed method are verified by a simulation example.