Major adverse cardiovascular events (MACE) encompass pivotal cardiovascular outcomes such as myocardial infarction, unstable angina, and cardiovascular-related mortality. Patients undergoing peritoneal dialysis (PD) exhibit specific cardiovascular risk factors during the treatment, which can escalate the likelihood of cardiovascular events. Hence, the prediction and key factor analysis of MACE have assumed paramount significance for peritoneal dialysis patients. Current pathological methodologies for prognosis prediction are not only costly but also cumbersome in effectively processing electronic health records (EHRs) data with high dimensionality, heterogeneity, and time series. Therefore in this study, we propose the CVEformer, an attention-based neural network designed to predict MACE and analyze risk factors. CVEformer leverages the self-attention mechanism to capture temporal correlations among time series variables, allowing for weighted integration of variables and estimation of the probability of MACE. CVEformer first captures the correlations among heterogeneous variables through attention scores. Then, it analyzes the correlations within the time series data to identify key risk variables and predict the probability of MACE. When trained and evaluated on data from a large cohort of peritoneal dialysis patients across multiple centers, CVEformer outperforms existing models in terms of predictive performance.