The smart grid is evolving rapidly from a relatively isolated environment to an opened one. The adoption of information and communication technologies can make greater connectivity and interoperability between components. However, the increased connectivity also brings the challenge to security. First of all, in allusion to the current study on security threats to smart grid simple and deficient, the paper induces and analyzes it thoroughly, which can also correct some misunderstanding in a certain degree, from the view of system level, services, confidentiality and so on. Secondly, based on the analysis of security threats, the paper constructs the security strategy for smart grid. It consists of four steps, which are discussed detailedly one by one. It can provide the protection effectively. Finally, relevant conclusions are made.