The invention provides an underwater robot adjusted through three oil pockets, and a depth-setting control method thereof. The method comprises the following steps: information, such as depth, longitudinal velocity and attitude angle, etc., is obtained through corresponding sensors; the static submergence or dynamic submergence is determined according to a host computer instruction; if the instruction indicates the static submergence, a bow, a midship and a stern respectively pump oil from the oil pockets at the same time, therefore, the displacement volumes of the oil pockets are reduced, the buoyancy force of the underwater robot is smaller than the gravity force in general, and the underwater robot sinks; if the instruction indicates the dynamic submergence, an axial main thruster is started, and enters a constant speed motion state with acceleration, an oil storage tank at the bow part sucks oil from the bow oil pocket, and therefore, the displacement volumes of the bow oil pocket is reduced; since the oil is discharged to the stern oil pocket from an oil storage tank at the stern part, the displacement volume of the bow oil pocket is increased; the underwater robot is changed into a state of trim by head from zero pitch, and bow trim occurs; the bow trim motion is coupled by the axial motion at the moment, and longitudinal trim submergence is realized; and the oil suction action and the oil discharge action are opposite when the static floating or dynamic floating occurs. The method has significance for the long-distance voyage underwater robot regarding to energy conservation.