This invention provides an automatic wire connecting method in a wire cut electric discharge machine by which a wire electrode can be inserted into a machining start hole having an extremely small diameter with a simple structure. An upper wire support part (17) is moved together with a wire, until the tip of the cut wire (1) goes into a machining start hole (7, 7'), towards a workpiece (6) aligned with the wire support portion (17) disposed on the wire supply side of a wire feeding system. Then, while the wire tip is kept inside the hole, the upper wire support portion is moved away from the workpiece and then the wire is transported to a wire take-out side of the wire feeding system to complete connection.