The invention provides an EVA non-asphalt based self-adhesion waterproof coiled material with a thermal insulation layer and a manufacturing process thereof. The waterproof coiled material is formed by compounding an EVA waterproof sheet with an EPE foam sheet and a non-asphalt based self-adhesion material. The EVA non-asphalt based self-adhesion waterproof coiled material has a good waterproof function and good thermal insulation performance. Due to the fact that EVA and EPE have good compatibility, the EVA and the EPE can be compounded together through a hot-melting compounding process, carbon black masterbatch, an antioxidant and other additives are added in the EVA resin mixed material, the mechanical performance attenuation of the polyethylene waterproof coiled material due to thermal oxidation in the processing process is prevented, and the service life of the product is prolonged.