Human society and natural environment form a complex giant ecosystem, where human activities not only lead to the change in environmental states, but also react to them. By using collective-risk social dilemma game, some studies have already revealed that individual contributions and the risk of future losses are inextricably linked. These works, however, often use an idealistic assumption that the risk is constant and not affected by individual behaviors. Here, we develop a coevolutionary game approach that captures the coupled dynamics of cooperation and risk. In particular, the level of contributions in a population affects the state of risk, while the risk in turn influences individuals’ behavioral decision-making. Importantly, we explore two representative feedback forms describing the possible effect of strategy on risk, namely, linear and exponential feedbacks. We find that cooperation can be maintained in the population by keeping at a certain fraction or forming an evolutionary oscillation with risk, independently of the feedback type. However, such evolutionary outcome depends on the initial state. Taken together, a two-way coupling between collective actions and risk is essential to avoid the tragedy of the commons. More importantly, a critical starting portion of cooperators and risk level is what we really need for guiding the evolution toward a desired direction.