To explore the space-time evolution law of the "New Silk Road" economic zone, we adopt the Principal Component Analysis to study the economic data of 27 cities along the road in 2001-2010 and come to the composite scores of economic development level in each city. And, by the Traditional Markov Chain and Time Markov Chain, the Markov Chain transition probability matrix and spatial transfer probability matrix of each city's economic level are calculated, which explores the characteristics of space and time of urban development. The results show that in the time scale, the economic development of the cities maintains to the original state in 10 years; but from space, there is a clear imbalance in the development of these cities that the eastern, central and few western cities are in the forefront while the most western cities are lagging behind, especially the emergence of "в convergence" in cities such as Tianshui, Dingxi, Wuwei, Zhangye and so on.