Abstract: One profound problem for carbon peaking and carbon neutrality goals is the energy problem. How to achieve a win-win situation between energy security and low-carbon development is the key to achieving the carbon peaking and carbon neutrality goals. Based on such consideration, the definition of energy security under the background of carbon peaking and carbon neutrality goals was proposed, a security level evaluation index system for China’s coal, oil, and natural gas was established, and a new comprehensive evaluation model based on Entropy method, exponential smoothing, and GM (1,1) method was constructed to explore energy security of China’s coal, oil and natural gas. The results show: From 2000 to 2019, the supply of comprehensive energy, coal, oil and natural gas in China failed to reach the security standard, but their supply security levels will improve by 2030 and exhibit heterogeneity. Key influencing factors for the supply security of China’s coal, oil, and natural gas are different. Coal supply security is most affected by technology and efficiency, but both oil and natural gas security are affected by affordability. The development of renewable energy and technological progress will become a key driving force for improving China’s energy supply security level under the carbon peaking goals.