To reduce the casualties of underground shopping malls after a fire and provide a reference for better emergency decision-making, this paper undertakes an in-depth study of the fire evacuation risk in underground shopping malls. First, no theoretical model exists for selecting the fire source location of the existing building evacuation fire. Considering the approach-avoidance behavior of people toward fires during evacuation and assuming the worst-case scenario, the authors propose a multi-exit fire-source-location-selection model. This study then simulates an underground shopping-mall fire using Pyrosim software. Finally, this study improves the existing evacuation risk-assessment model based on previous research and studies on underground buildings using this new model. The model presents the evacuation risk distribution in various areas within the building clearly, providing references for both the fire protection design for underground shopping malls and forming fire-emergency plans. Moreover, the number of people in the building, pre-movement time, and safety exit widths significantly influence fire evacuation risk in underground shopping malls; specifically, the number of people in the building and the pre-movement time are positively correlated with the evacuation risk, whereas the width of safety exits is negatively correlated. The number of people inside the building has the greatest impact on the evacuation risk.