A reciprocating saw includes a main body, a blade holding device mounted on the main body, and a blade detachably mounted on the support seat of the main body by the blade holding device. The blade holding device includes a bushing, a slide, a sleeve, a positioning ball, a torsion spring, and a guide rod. Thus, the blade can be mounted on and detached from the support seat of the main body easily and conveniently by rotation of the sleeve, thereby facilitating the user replacing the blade.