Power to gas and gas to power loads in the integrated gas and power system can provide a channel for fault propagation between the power grid and the natural gas network. They are defined as conversion load. Their different proportion in power load and natural gas load and shedding priority in blocking control may have different impacts on the propagation characteristics of cascading failures. Therefore an evaluation method of cascading failures considering energy conversion load effects is proposed. First, the models of the proportion and shedding priority of energy conversion load are proposed to analyze the cascading propagation mechanisms and characteristics of the failures in the system at different proportions and shedding priority. Then, the optimal dispatching models of the power and the natural gas systems based on the proportion and shedding priority of energy conversion load are established respectively. The two models are iterated alternately to simulate cascading failures. From this, the indicators in topology and physics are proposed for quantitative evaluation of cascading failure risk. Thus, a cascading failure evaluation model of an integrated gas and power system is built. Finally, the integrated gas and power test system composed of an IEEE RTS 24-bus system and a 29-bus gas system is employed to validate effectiveness of the proposed method in revealing cascading effect by comparing different scenarios.