This paper explores the structural relationship among asset investment diversification, business diversification and the bankruptcy risk of firms. Asset investment diversification is divided into two components, namely related and unrelated asset investment diversification, while business diversification includes related and unrelated business diversification. In the hypothetical relationship, business diversification is proposed to play a mediating role to explain the effect of asset investment diversification on bankruptcy risk. Specifically, related and unrelated asset investment diversification affect bankruptcy risk through two mediators, namely related and unrelated business diversification. Hence, it is vital to employ the general linear structural model (GSEM) with panel data on 470 businesses publicly listed in Vietnam from 2008 to 2017. Surprisingly, the empirical results show that both related and unrelated asset diversification have positive impacts on bankruptcy risk. Nevertheless, only related business diversification plays a mediating role between related asset diversification and bankruptcy risk, while unrelated business diversification has an insignificant mediating effect on the relationship between unrelated asset diversification and bankruptcy risk.