A method of compressing an electrocardiography (ECG) signal and an ECG signal sensing apparatus thereof are provided. The method of compressing the ECG signal includes the following steps. A current first characteristic wave is identified and captured from the ECG signal. A set of difference is obtained by subtracting a previous first characteristic wave from the current first characteristic wave. A first encoding process is executed on the set of difference, so as to obtain a first bit stream. A compressed ECG data is generated, wherein the compressed ECG data at least comprises the first bit stream.