The invention, which belongs to the field of the eddy-current displacement sensor, discloses a differential frequency conversion and amplitude modulation type eddy-current displacement sensor with the high temperature self-following stepped-compensation characteristic. The sensor is composed of a probe, a temperature induction stepping circuit and a signal processing circuit. The probe is mainly composed of a coil, a high-temperature adhesive and a ceramic coil skeleton. The temperature signal processing circuit mainly consists of an oscillation circuit, a detection circuit, a filter, a three-stage linear compensation circuit and a differential circuit. The temperature induction stepping circuit includes a thermistor, an FPGA and an analog switch circuit. The single-path temperature drift situation of the eddy-current displacement sensor is collected on the condition of no compensation; a fitting resistance ratio of a multi-stage temperature drift compensation circuit is designed; the FPGA carries out controlling to select temperature compensation circuits at different levels; and then differential time drift error elimination is carried out at two paths with opposite moving directions of a measured object and then a final signal is outputted. The sensor is applied to a high-temperature magnetic suspension bearing.