The invention provides a milling machine dust removal device and a milling machine. The milling machine comprises a conveying assembly; the milling machine dust removal device comprises a shell, a fanand a filter assembly; an air channel is formed in the shell; the air channel comprises a vertical passage; an air inlet and an air outlet are formed in the shell; one end of the vertical passage iscommunicated with the air inlet; the other end of the vertical passage is communicated with the air outlet; the air inlet faces towards a conveying passage of the conveying assembly; the fan is mounted on the shell, and is arranged at a position of the air outlet; and the filter assembly is arranged in the air channel. According to the milling machine dust removal device provided by the invention,the filter assembly is arranged in the air channel, so that dust can be separated from air after passing through the filter assembly, and clean air can be discharged from the air outlet; the dust canbe avoided from being directly discharged into the air while dust removal is realized, and the pollution of the milling machine to ambient environment is reduced.