The invention discloses an efficient compressed air energy storage system and method. The system comprises a cooler, a low-pressure air compressor, an interstage cooler, a high-pressure air compressor, a heat storage/exchange device and a turbo expander which are connected in sequence. An exhaust outlet of the high-pressure air compressor communicates with an inlet of a compression heat recycling pipe bundle of the heat storage/exchange device, the compression heat recycling pipe bundle of the heat storage/exchange device communicates with an air-water separator and the cooler in sequence, an air outlet of the air-water separator communicates with an air storage chamber through a blocking check valve, and thus an energy storage loop is formed. The air storage chamber communicates with a high-pressure air inlet of an exhaust regenerator, a high-pressure air outlet of the exhaust regenerator communicates with a gas bubbling device on the upper portion of the heat storage/exchange device, the heat storage/exchange device is connected with the turbo expander, and the turbo expander is connected with a power generator, so that an energy release loop is formed.