The invention provides a method for simultaneously producing hydrogen peroxide and hydrogen through an autonomous oxygen supply double-cathode device. The device used by the method is provided with two cathodes and one shared anode, that is, the oxygen reduction cathode, the hydrogen evolution cathode and the oxygen evolution anode. In the autonomous oxygen supply double-cathode device, oxygen produced by the shared anode is freely diffused to the oxygen reduction cathode, and the hydrogen peroxide is generated on the surface of a catalyst layer of the oxygen reduction cathode in a in-situ reduction mode; and the hydrogen produced by the hydrogen evolution cathode is freely diffused out of a solution system and collected. Compared with a traditional method for producing hydrogen peroxide through oxygen reduction, the method does not need to additionally supply oxygen to the oxygen reduction cathode, and the other product hydrogen is also produced. Compared with a traditional sulfuric acid electrolysis method for preparing hydrogen peroxide and hydrogen, the method can further produce the two kinds of products and does not need the strong acid environment or the re-hydrolysis step.