The invention relates to a device and method for purifying peculiar smell gas of a cold-rolled emulsion. The device comprises a fan (2), a demisting device, a concentration-enrichment reactor (6), an oxidant generation device (7), a discharged liquid collecting device and an exhaust hole (9). According to the device and the method, oil mist in the peculiar smell gas produced by the emulsion is removed, the peculiar smell is oxidized, peculiar smell matters are removed, and the peculiar smell of a mist discharging system in a cold rolling process is further purified, so that the odor concentration and the discharging concentration of volatile organic compounds of the finally discharged peculiar smell are reduced.