The current “Belt and Road” Initiative focuses on the design of a community of shared destiny in China and Southeast Asia, and the construction of the multilateral cooperation mechanism for anti-money laundering is the representative. Anti-money laundering involves the prevention and control of illegal gains from various cross-border crimes, which has a far-reaching negative effect on the social stability and economic security. The current status of money laundering crimes in China and Southeast Asia shows the necessity, urgency and feasibility of anti-money laundering cooperation, but it also faces specific obstacles in political, economic, ethnic and religion, law, law enforcement cooperation and so on. Based on the existing bilateral and multilateral cooperation mechanisms, cooperation between China and Southeast Asia in anti-money laundering needs to be carried out. Based on the actual situation of China and Southeast Asia, a variety of anti-money laundering cooperation in the forms of “small multilateral”, “middle multilateral”, and “large multilateral” will be established from the cornerstone of ideas, organizational framework, legal guarantee, law enforcement, management mode, and regional financial supervision. By so doing, when it adapts to local conditions and complies with regulations, a “1+11” large multilateral cooperation led by China will be established to jointly prevent and control cross-border crimes and build a stable community of shared destiny.