A Cyber-Physical System (CPS) is a mixed system integrated with computation, communication, and physical processes, which takes an important position in the smart city, and there are many challenges in its security issues. Firstly, we establish a cyber security model for CPS, providing with the security threats of various components of CPS. Then, we propose a CPS threats analysis method and provide experimental test results. The results show that this method can achieve rapid large-scale security threat modeling and automatic analysis. Consequently, it can provide technical supports for the security assurance of the key information infrastructures in smart cities. Finally, we summarized the research advance and future research direction of security threats on CPS in the smart city.