The invention discloses an automatic aluminum electrolytic bath electrode changing system and an electrode changing method thereof. The automatic aluminum electrolytic bath electrode changing system comprises an automatic electrode changing mechanical arm, wherein the automatic electrode changing mechanical arm has vertical lifting freedom degrees and rectilinear motion freedom degrees in any position within a horizontal plane; a clamping element for fixing an anode clamping guide rod, a sleeve wrench for locking or unlocking an anode clamp, and a first positioning element are arranged at an execution end of the automatic electrode changing mechanical arm; the sleeve wrench is arranged on the automatic electrode changing mechanical arm through a telescopic mechanism; the clamping element, the telescopic mechanism and the sleeve wrench are all electrically controlled automatic executors and are in signal connection with a control module of a groove control machine of an aluminum electrolytic bath together with the first positioning element. By adopting the automatic aluminum electrolytic bath electrode changing system, a conventional aluminum electrolytic bath electrode changing system and an electrode changing method are thoroughly transformed, particularly for an aluminum electrolytic bath without an upper shell, electrodes can be automatically changed, and the electrode changing time can be greatly shortened, so that long-term instable operation of the electrolytic bath is avoided, the energy consumption can be reduced, and meanwhile the labor can be saved.