  Spectral lag of the low-energy photons with respect to the high-energy ones
is a common astrophysical phenomenon (such as Gamma-ray bursts and the Crab
pulsar) and may serve as a key probe to the underlying radiation mechanism.
However, spectral lag in keV range of the magnetar bursts has not been
systematically studied yet. In this work, we perform a detailed spectral lag
analysis with the Li-CCF method for SGR J1935+2154 bursts observed by {\it
Insight}-HXMT, GECAM and Fermi/GBM from July 2014 to Jan 2022. We discover that
the spectral lags of about 61\% (non-zero significance >1$\sigma$) bursts from
SGR J1935+2154 are linearly dependent on the photon energy ($E$) with $t_{\rm
lag}(E)=\alpha (E/{\rm keV})+C$, which may be explained by a linear change of
the temperature of the blackbody-emitting plasma with time. The distribution of
the slope ($\alpha$) approximately follows a Gaussian function with mean and
standard deviation of 0.02 ms/keV (i.e. high-energy photons arrive earlier) and
0.02 ms/keV, respectively. We also find that the distribution can be well
fitted with three Gaussians with mean values of $\sim$ -0.009, 0.013 and 0.039
ms/keV, which may correspond to different origins of the bursts. These spectral
lag features may have important implications on the magnetar bursts.
