The invention provides a method and device for generating files of an MDF format and relates to the field of recording of vehicle-mounted data. The method comprises the steps that S1, description information of a fixed part is established according to the MDF file format, the fixed part comprises the part from an initial IDBLOCK to CNBLOCK; S2, measured data received from an ECU is temporarily stored in a chain table according to a first preset period; S3, measured data in the chain table are converted in a double-precision floating-point format according to a second preset period, and converted data are filled into the MDF file format to obtain files of the MDF format; the second preset period is N times of the first preset period. The files of the MDF format generated through the method are simple in generating method, meet industrial standards, can be applied to relative cheap interface tools such as PCAN, and the cost of the generating device is lowered.