The rapid development of the electric power market makes the scientificity and rationality of grid investment decision-making particularly important. In this paper, firstly, we design a grid investment benefit assessment method based on fuzzy comprehensive evaluation. And taking the grid investment benefit of M city in 2022 as an example, the fuzzy comprehensive evaluation method is used to quantitatively evaluate the grid investment benefit. Based on the evaluation results, the weaknesses of power grid investment in M city are found. Then the multi-level optimization strategy of grid investment is further proposed to achieve the maximization of investment benefits. The strategy considers the objectives and constraints of different levels, such as grid structure, power supply reliability, operation efficiency, and power sales revenue, and coordinates the interests between all levels by establishing a multi-objective optimization model to achieve the global optimization of the grid investment decision. Finally, after adjusting the allocation ratio and the allocation amount by the multi-level optimization strategy, the overall evaluation of the city’s grid investment efficiency in 2023 is improved from “average” to “excellent”. It shows that the multilevel optimization strategy designed in this paper can provide scientific guidance for grid investment decision-making.