This paper develops a network to analyze inter-industry risk spillovers during high and low volatility periods. Our findings indicate that China's Industrials and Consumer Discretionary exhibit the greatest levels of spillovers in both high and low volatility states. Notably, our results demonstrate the "event-driven" character of structural changes to the network during periods of pronounced risk events. At the same time, the economic and financial network exhibits clear "small world" characteristics. Additionally, in the high volatility stage, the inter-industry risk contagion network becomes more complex, featuring greater connectivity and direct contagion paths. Furthermore, concerning the spillover connection between finance and the real sector, the real economy serves as a net exporter of risk. The study's findings can assist government agencies in preventing risk contagion between the financial market and the real economy. The empirical evidence and policy lessons provide valuable insights for effective risk management.