We presented BVRcIc light curves of BX Peg obtained by the Weihai Observatory 1.0m telescope of Shandong University. The W-D code was used to analyze the four color light curves, it is shown that BX Peg is a W-subtype shallow contact binary with a fill-out factor of f=14.6%. The asymmetric light curves were explained by a dark spot on the less massive hot component. A total of 328 times of minimum light were used to study the orbital period variation of BX Peg. We found that the orbital period of BX Peg was continuous decrease with a rate of dp/dt=-2.07x10^-7^d/yr superimposed on a cyclic oscillation with a period of 57.8yr. The secular period decrease should be caused by the angular momentum loss via magnetic stellar wind. The cyclic modulation is very likely to be produced by the light travel time effect due to a tertiary companion.