The invention discloses a transition-free welding device for an anode guide rod and an anode yoke and a welding method. The welding device comprises the anode guide rod, the anode yoke, an aluminum-steel welding device and a steel-steel welding device. The aluminum-steel welding device welds the anode guide rod with a steel sleeve, and the steel-steel welding device welds the steel sleeve with the yoke. By the transition-free welding device, the anode guide rod and the steel sleeve are integrally welded to form an aluminum-steel composite which is then integrally welded with the anode yoke in a fusion mode, integral transition-free welding of the anode guide rod and the anode yoke is realized, and the anode guide rod and the anode yoke are integrated, so that conducting area of the welding joint is greatly increased, resistance and heating are reduced, and electricity saving effect is realized; due to a protection function of the steel sleeve, connection strength of the anode guide rod and the anode yoke is enhanced, and service lives of the anode guide rod and the anode yoke are prolonged; the welding method of the welding device is simple and convenient to operate.