The utility model discloses a waterproof system structure of an exterior-wall-penetrating thermal pipeline pre-buried steel sleeve, and the structure comprises a steel sleeve pre-buried in the exterior wall and a thermal insulating pipe penetrating the pre-buried steel sleeve, two sides of the steel sleeve are provided with wing-rings, and a set of water sealing ring is arranged in a middle part of the steel sleeve; an annular baffle plate is arranged outside the wing-rings positioned on two sides of the steel sleeve, and anchor bars are arranged at inner side of the wing-rings; a gap segment is preserved between the steel sleeve and the thermal insulating pipe, two sides of the gap segment are blocked by the baffle plate arranged on two sides of the steel sleeve, and at least one set of water-swellable rubber strip layer is filled in the gap segment; a support cushion block is arranged outside the baffle plate; waterproof coiled material is paved at a boundary area between outside wall and the thermal insulating pipe, and a set of wrinkle is arranged on the waterproof coiled material in a corner; a protective layer is arranged outside the waterproof coiled material; and the wrinkle portion of the waterproof coiled material in the corner is tightly wound with a partial-reinforcement baffle. Advantages like good waterproof effect, long usage life, and low operation management cost are realized through employing the structure; and thermal pipe network operation requirement can be satisfied.