This invention discloses a method for controlling baking and burning of anode block used for aluminium electrolysis and the oil supply device thereof, wherein: the heavy oil used for anode block baking inflows through the heavy oil inlet, and is delivered to the impulse electromagnetic valve through the heavy oil pipe after heating and pressurization; then the impulse electromagnetic valve, underthe control of the decentralized control system, sprays the heavy oil into the burning chamber of the anode block roasting furnace to bake the anode block according to the predetermined requirement. This invention can automatically control the temperature during the anode block baking process, which can decease the vertical temperature difference in the combustion chamber, increase the temperature homogeneity, improve the accuracy of temperature control, reduce the oil consumption and labor intensity, and guarantee the quality of the anode products.