A high frequency connector is used for connecting with a high frequency transmission cable as to offer a function of transmitting signal of an electric appliance. The high frequency connector includes an insulation body with multiple terminal therein, a metal inner covering disposed at outer side of the insulation body and a jacket disposed at the outermost side of the connector. The terminals are electrically connected to the cable and the inner cover at an end thereof has a locating device for holding the cable. The locating device is provided with an engaging device so as to retain and hold the cable at a preset position without loosening and swaying such that both high frequency characteristics and integral strength of the connector can be enhanced.