The invention discloses a winding method of a high-frequency and high-power transformer. The winding method uses a multi-core and multi-shielding coaxial line, considers current capacity and a skin effect, partially employs a transmission line transformer principle and comprises the steps of gathering a plurality of radio-frequency cables of which outer layers sleeved with external conductors to form a cable harness, sleeving the outer layers with wave-prevention sleeves, and performing winding to form a multi-core and multi-shielding coaxial harness; and winding the coaxial harness around a dual-hole magnetic core, and winding and welding the radio-frequency cables and the external conductors with optical copper wires. The winding method of the high-frequency and high-power transformer is more suitable for industrial production and is a novel transformer winding method which can be used for reducing volume, dielectric loss, wire loss, leakage inductance and stray capacitance to the greatest extent. The winding method is applied to the high-frequency and high-power transformer, the size demand is satisfied in the limited size of the magnetic core, a large voltage and a large current under a high power are stood, and a phenomenon that the magnetic core generates heat is solved.