Based on the theory of harmonious development of ecological economy, a total of 13 evaluation indices were selected from the ecological, economic, and social sub-systems of Yanqi River watershed in Huairou District of Beijing. The selected evaluation indices were normalized by using trapezoid functions, and the weights of the evaluation indices were determined by analytic hierarchy process. Then, the eco-economic benefits of the watershed were evaluated with weighted composite index method. From 2004 to 2011, the ecological, economic, and social benefits of Yanqi River watershed all had somewhat increase, among which, ecological benefit increased most, with the value changed from 0.210 in 2004 to 0.255 in 2011 and an increment of 21.5%. The eco-economic benefits of the watershed increased from 0.734 in 2004 to 0.840 in 2011, with an increment of 14.2%. At present, the watershed reached the stage of advanced ecosystem, being in beneficial circulation and harmonious development of ecology, economy, and society.