A linear guide with lubrication device includes: a elongate rail; a slide module slidably mounted on the elongate rail and including a slide block and two recirculation members, which are respectively mounted to two end faces of the slide block and include a plurality of recirculation passages, in which at least one of the recirculation members includes a lubricant reservoir and a fixing through hole formed therein such that the lubricant reservoir, the recirculation passage, and the fixing through hole are in communication with each other and the lubricant reservoir receives lubricant filled therein; an application member received in the fixing through hole; a transferring member covering the application member and the transferring member absorbing and transferring lubricant to the application member. Rolling bodies, when moving through the recirculation passage, may contact the application member to have lubricant applied thereto.