A slope and direction changing continuous conveying system and an application method thereof are suitable for personnel transportation of complex and changeful underground roadways, fluctuant hillsides and special buildings. The continuous conveying system comprises comb plates, cover plates, a driving device, steps, a guide rail system and a handrail device, wherein the steps are arranged in the guide rail system; the driving device drives the steps to perform cycle operation along the guide rail system, and at the same time, drives handrail bands on the inner side of the guide rail system to perform synchronous operation along with the steps; the safety of pedestrian going up and down can be ensured by the cover plates, and the transition between the steps and pedals can be realized by the comb plates. The continuous conveying system is simple in structure, safe, reliable and wide in range of application, can overcome the problems of the conventional escalator that guide rails are straight or simply spiral and singular in shape, the step route cannot be changed along with terrain and environment, the space usage effectiveness is low, and the aesthetic measure is low; besides, the continuous conveying system realizes slope and direction changing continuous conveying, expands the application field of escalators, and has extensive practicability.