The invention discloses a continuous electrolytic polishing device of alloy substrate used for coated conductor, which comprises a first anode tank, an electrolytic tank, a second anode tank, a substrate releasing disc, a substrate reeling disc as well as a first liquid storage box, a second liquid storage box and a third liquid storage box, wherein the first anode tank, the electrolytic tank andthe second anode tank are sequentially arranged, and the left sides and the right sides of the first anode tank, the electrolytic tank and the second anode tank are all provided with through holes; the substrate releasing disc and the substrate reeling disc are used together with each other for continuously pulling the alloy substrate to be treated out of the inner parts of the first anode tank, the electrolytic tank and the second anode tank through the through holes after tightening the alloy substrate; and the first liquid storage box, the second liquid storage box and the third liquid storage box are respectively communicated with the first anode tank, the electrolytic tank and the second anode tank through circulating pumps. The invention also discloses a method for carrying out continuous electrolytic polishing on the alloy substrate used for coated conductor by using the device. The device has the advantages of simple structure, reasonable design and low manufacturing cost, andcan realize continuous electrolytic polishing on hectometer-level alloy substrate. The root-mean-square roughness of the polished alloy substrate is less than 5nm by adopting the method for electrolytic polishing.