The invention discloses a method for machining a complete martensitic alloy steel cold working roll after hardening and copious cooling, belongs to the field of cutting work, and solves the problems of complex process, low efficiency and high cost of the conventional hardened martensitic alloy steel cold working roll hard cutting process. The method disclosed by the invention comprises the following steps: S1, controlling the length bending deformation of a working roll to be cut after quenching; S2, correcting a central hole in the second end of the working roll to be cut; S3, mounting the working roll, of which the central hole in the second end is corrected in the step S2, on a dedicated configuration lathe, wherein the dedicated configuration lathe comprises a main motor, a reducer, a spindle box, a large carriage, a medium carriage, an electric tool carrier, a guide rail and a rotary tailstock; S4, mounting an integral CBN tool on the electric tool carrier of the lathe, and optimizing the angle and the parameters of the integral CBN tool; and S5, setting machining parameters of the dedicated configuration lathe, and carrying out powerful cutting to fulfil cutting at a time. The method disclosed by the invention has the advantages that the cutting forbidden area of a martensitic hardened layer of a roll shaft-type part is broken through; powerful cutting is realized; and the effects of high precision and high efficiency are achieved.