Disclosed is a method of forming a continuous channel for gas discharge in the surface of a casting roll for twin roll strip casting, and particularly, a method of forming a continuous channel for gas discharge on the surface of a casting roll for twin roll strip casting, suitable for the formation of dimples on the surface of a casting roll for a twin roll strip caster, which includes applying a photoresist on the entire surface of a casting roll, conducting patterning on the applied photoresist, developing the surface of the casting roll, subjected to the patterning, and etching the metal surface of the casting roll, exposed in the developing, and which prevents the generation of dents, enables the manufacture of a cast product having no defects, and realizes wide applicability not only to high Mn steel but also to types of casting steel capable of generating dents or similar defects due to a large amount of volatile gas.