This paper presents a novel approach for estimating the vulnerability level of critical infrastructure confronting potential terrorist threats and assessing the usefulness of various protection strategies for critical infrastructure (CI). A methodology, utilizing a combination of topological network analysis and game theory, is presented to evaluate the effectiveness of protection strategies for certain components in the infrastructure under various attack scenarios. This paper focuses on protective strategies that are based on different attack scenarios as well as on the connectivity of the critical infrastructure components. The methodology proposed allows optimization of protection strategies in terms of investment in critical infrastructure protection in order to reduce expenditures on local infrastructure protection or on a single critical infrastructure for small projects. A case study of a power-supply substation is included to validate the analytical framework. The results indicate that the framework is highly applicable to other types of critical infrastructures facing similar threats. The results suggest that when only terrorist attacks are considered, improving the robustness of CI has a much higher effectiveness and efficiency than improving CI redundancy. The research methodology in this paper can be applied to a wide range of critical infrastructures and systems that may be at risk from manmade extreme events.