A backlight module, a manufacturing method thereof, a display device and a light guide device are provided. The backlight module includes: a light guide structure, including a volume grating layer, the volume grating layer including a plurality of volume grating portions and a light guide portion between adjacent volume grating portions, the plurality of volume grating portions being configured to introduce a beam of a specific wavelength into the light guide portion; and a light extraction structure, located on a light exit side of the light guide structure, wherein a refractive index of the light guide structure is greater than a refractive index of the light extraction structure, and an incident angle of the beam introduced into the light guide portion on a plane where the light guide portion is located is not less than a total reflection critical angle of the light guide structure.