The purpose of this study is to explore the impact of economic policy uncertainty on the development of sports industry. By using DAG model, the causal transmission path between the two is identified accurately, and the limitation of traditional Granger test is overcome. Further using impulse response and variance decomposition analysis, this paper deeply studies the long and short term effects of economic policy uncertainty on sports industry. The results show that economic policy uncertainty has a cumulative impact on the development of sports industry; There are positive feedback mechanisms within the sports industry. In light of these findings, the paper suggests strengthening risk management of economic policy uncertainty and promoting the sustainable development of the sports industry itself.