Sudden variation of aerodynamic loads is the potential source of safety accidents of high-speed train (HST). As a follow-up investigation on the aerodynamic response of a HST that enters a tunnel under crosswind environment, this paper focuses on the transient response of a HST’s safety indices based on the train–track coupling interaction model. Firstly, a wind–train–track coupling dynamic model is proposed by introducing transient aerodynamic loads into the vehicle–track system. Secondly, the temporal evolution of safety coefficients indicates that the train’s safety risk increases during tunnel entry with crosswind. Results show that the derailment coefficients and wheel load reduction rate during tunnel entry are not only larger than those in open air but also those inside the tunnel due to the sudden disappearance of wind excitation at the tunnel entrance. In addition, the characteristic wind curve, which is the wind velocity against the train speed, is presented for application based on the current specification of the safety criteria threshold. The investigation will be useful in assessing the safety risk of a running train subjected to other aerodynamic attacks, such as the coupling effect of infrastructure scenario and crosswind in windy area.