Masked image modeling (MIM) revolutionizes self-supervised learning (SSL) for image pre-training. In contrast to previous dominating self-supervised methods, i.e., contrastive learning, MIM attains state-of-the-art performance by masking and reconstructing random patches of the input image. However, the associated security and privacy risks of this novel generative method are unexplored. In this paper, we perform the first security risk quantification of MIM through the lens of backdoor attacks. Different from previous work, we are the first to systematically threat modeling on SSL in every phase of the model supply chain, i.e., pre-training, release, and downstream phases. Our evaluation shows that models built with MIM are vulnerable to existing backdoor attacks in release and downstream phases and are compromised by our proposed method in pre-training phase. For instance, on CIFAR10, the attack success rate can reach 99.62%, 96.48%, and 98.89% in the downstream phase, release phase, and pre-training phase, respectively. We also take the first step to investigate the success factors of backdoor attacks in the pre-training phase and find the trigger number and trigger pattern play key roles in the success of backdoor attacks while trigger location has only tiny effects. In the end, our empirical study of the defense mechanisms across three detection-level on model supply chain phases indicates that different defenses are suitable for backdoor attacks in different phases. However, backdoor attacks in the release phase cannot be detected by all three detection-level methods, calling for more effective defenses in future research.