Currently, the loan demand of small and micro enterprise is rapidly increasing, thus the establishment of an effective credit rating model for small and micro enterprises has become the focus of attention in the academic and practical fields. On the basis of the model and the index system, this paper puts forward the research steps of small and micro enterprises credit rating based on fuzzy neural network. This paper takes the micro data of the small and micro enterprises in a rural commercial bank as the empirical sample, and carry out the small enterprises and micro enterprises credit rating test separately. The empirical results show that the fuzzy neural network model in the small and micro enterprises credit rating research brought a higher detection accuracy than the BP neural network model. The model can realize the combination of subjective and objective ratings; can be used for qualitative adjustment and batch processing of data; and has explicit calculation process and decision rules. Therefore, it is suitable for the research of credit rating and has robustness.