A cylindrical coil structure of a multi-stage capacity regulating transformer is characterized in that a high-voltage phase winding adopts a multi-layer cylindrical coil structure, and a low-voltage phase winding adopts a multi-layer foil-wound cylindrical coil structure; taps are extracted from the wire turn of the high-voltage phase winding and the low-voltage phase winding corresponding to different capacities; and all taps of a three-phase winding and the head ends of the three-phase winding are respectively connected with the corresponding fixed contact and moving contact of an on-load switch. For Y- and y n-connected products, the three-phase winding can disconnect star connection through the switch, and the O-phase is extracted from the switch. The cylindrical coil structure can regulate the capacity without changing the distance of main empty path of the transformer, so as to obviate obvious changes of important impedance parameters of the transformer.