The invention discloses a combined heat and power generation system under super-high temperature and super-high pressure parameters and a method thereof, and belongs to the field of combined heat and power generation engineering. According to the combined heat and power generation system under the super-high temperature and super-high pressure parameters and the method thereof, the super-high temperature and super-high pressure parameters are adopted; because of the improvement of exergy efficiency, more electricity is generated by a super-high temperature and super-high pressure machine set compared with that generated by a high temperature and high pressure machine set under the situation of consuming the same amount of fuel. Under the condition of basically same operating cost, the economic benefit of a power plant is increased; economic guarantee is provided for reducing heating price and serving a heat user better.