A method of continuously casting a thin strip by pressing a pair of side walls to both side surfaces of a pair of rotating cooling drums to form a metal bath and rotating said cooling drums so as to cool a molten metal inside the metal bath and to continuously cast the thin strip, comprising the steps of pressing the side walls, which are pre-heated before the start of casting of the thin strip, to the end surface of the rotating cooling drums at a predetermined surface pressure so as to apply deformation corresponding to the shape of the end surfaces of the cooling drums to the side walls, casting under lowered press surface pressure conditions to form a necessary sliding surface required for stable casting, moving the side walls to the positions at which a wear quantity of the sliding surfaces of the side walls reach a target value, and continue casting while maintaining said positions.