The present invention provides an auto biochemical analyzer and a sampling device and a sampling method thereof. The auto biochemical analyzer comprises a frame (100), a horizontal motion system, a vertical motion system, a sampling component and a transfer guide track (101), wherein the horizontal motion system comprises a first stepping motor (116); the vertical motion system comprises a second stepping motor (103); the first stepping motor (116) and the second stepping motor (103) are fixedly installed on the frame (100) respectively; the sampling component comprises a sampling needle holder block (114) and a sampling needle (111); and the stepping motors (116, 103) are both fixed to the frame. The analyzer is smart in motion, low in cost and compact in structure, and has the functions of open sampling and closed puncturing as well as conveying a sample to a specific position.