The “Belt and Road” construction is a significant strategy of the Central Committee of China raised in the new background of new domestic and external situation. Currently，various provinces in China are actively participating into the construction of the “Belt and Road”. How to fully exert the comparative advantages，find out the proper orientation of the strategy and jointly build and share the “Belt and Road” has become the main task for the provinces of China. The promotion of the Belt and Road calls for the strengthening of the infrastructure connectivity. And transport is the most basic infrastructure and should be developed first. Southeast Asia and South Asia have the key emerging economies in the world and China needs to strengthen the connectivity construction of Southeast Asia and South Asia which are the neighborhood of the Southwest of China to promote the “Belt and Road”. However，there are many problems in the infrastructure construction between China and South Asia and Southeast Asia. For example，the overall connectivity level is quite backward；the land transport is quite weak；there lacks the funding for the construction and development of the transport infrastructure；the border ports have backward infrastructure；the level of transportation facilitation is quite low；and there is not much mutual trust between China and the neighboring countries and there is no joint efforts；and the neighboring regions of the Southwest China is quite complicated and changeable. As the “Belt and Road” construction is a complicated system project，it cannot be built in one day and needs to be pushed forward from easy projects to difficult projects with the development of nodes cities promoting the development of areas. We must take multiple measures to implement the strategy in stages and to form the regional cooperation of greater scope. The main measures include：taking advantage of the existing international cooperation mechanism to promote connectivity construction，and improve overall planning and coordination，comprehensively accelerating the connectivity construction，upgrading the transport resource integration and operation capability；raising fund for construction through multiple channels；and increasing trust and dispelling suspicion of the neighboring countries.