The invention discloses a self-cooling magneto-rheological damper. The self-cooling magneto-rheological damper comprises a damper body, wherein the damper body comprises a cylinder barrel, a first piston, a piston rod and a magnet exciting coil, the cylinder is internally hollow, the first piston is arranged in the cylinder barrel, the piston rod is connected with the first piston and inserted in the cylinder barrel, and the magnet exciting coil is arranged on the first piston; the magneto-rheological damper further comprises a cooling device connected with the damper body. According to the magneto-rheological damper, the cooling device connected with the damper body is arranged and can cool the damper body, so that it is avoided that the use performance is affected because the temperature of the damper body is too high.