A feed drive mechanism and a connecting assembly thereof are described. The connecting assembly includes a main body and an outer sleeve. The main body has a connecting plate and an inner sleeve connected to a side surface of the connecting plate. Two opposite side surfaces of the connecting plate are respectively fixed on a screw nut seat and a lead screw nut of the feed drive mechanism, and a channel surrounds an outer side surface of the inner sleeve. The outer sleeve is sleeved on the outer side surface of the inner sleeve, enables the channel to be formed into a sealed space, and has an inlet and an outlet respectively communicating with the channel, thereby injecting a cooling medium into the channel.