The invention relates to a Fe-recycling Fenton oxidation method with zero sludge discharge and a device thereof. The Fenton oxidation method provided by the invention comprises the following steps: treating industrial wastewater by virtue of a Fenton oxidation reactor, adding Fe<2+>, H2O2 and acid during initial operation of the reactor, adding produced iron-containing sludge into a thermocatalytic reduction reaction kettle, adding activated carbon powder, sealing the reaction kettle, heating to 180-200 DEG C, stirring and reacting for 3.0-4.0 h, so as to obtain a solid-liquid two-phase mixture, discharging, adding into a water inlet of the Fenton oxidation reactor, mixing with the industrial water, acid and H2O2, and then entering the reactor and carrying out Fenton reaction, wherein initially and exogenously added Fe<2+> is replaced, and sludge produced during reaction is recycled. The method provided by the invention can realize zero sludge discharge of a Fenton oxidation technology, Fe in the Fenton oxidation reactor is recycled, and great advantage in the aspect of saving reagent expense of the Fenton oxidation technology and sludge treatment cost is shown.