An integrated structure of a return device and a pressure diffuser, and a centrifugal compressor are provided. The structure includes a pressure diffuser portion and a return device portion integrally molded with the pressure diffuser portion. The pressure diffuser portion is configured to form a pressure diffusion flow channel. The return device portion has a return channel. The return channel is in communication with the pressure diffusion flow channel, and is configured to guide gas from the pressure diffusion flow channel. The structure of the present invention eliminates a need of independently installing a return device and a pressure diffuser, and eliminates connection seams caused by assembly and misalignment caused by accumulated errors. Therefore, gas can smoothly flow through the pressure diffusion flow channel into the return channel, such that a gas flow is well guided, and the gas flow uniformity is better.