The invention discloses a coal-fired boiler high-temperature anti-corrosion device with a self-cooling function. The coal-fired boiler high-temperature anti-corrosion device comprises a near-wall air device and an air source system of the near-wall air device, wherein the near-wall air device comprises a near-wall air bellow (4), an ash bucket (6), a lead-in section (1) of water wall tubes sunken into a boiler, a diversion section (2) of the water wall tubes sunken into the boiler, a lead-out section (3) of the water wall tubes sunken into the boiler, a near-wall air nozzle (11), a near-wall air inlet branch tube (5) and an ash discharge tube (7); a water wall sunken into the boiler is formed in a way that fins (12) and the water wall tubes (13) are connected in sequence and is positioned below an area, in which high-temperature corrosion is easy to occur, of a boiler wall of a coal-fired boiler; the near-wall air nozzle (11) is arranged on the lead-out section (3) of the water wall tubes sunken into the boiler and is formed by slits formed by cutting the fins (12) which are connected with the water wall tubes (13); the ash bucket (6) is arranged below the near-wall air bellow (4); the water wall sunken into the boiler is fixedly connected with the near-wall air bellow (4) through ribbed plates (14).