A winding cooling structure of shaft motor includes a chamber in which multiple annular windings are received. A cooling fluid is filled up in the chamber to possibly contact the surfaces of every part of the respective windings. Therefore, heat generated by the windings can be quickly transferred to the cooling fluid around the windings and dissipated. Accordingly, in operation, the heat dissipation efficiency of the shaft motor can be enhanced to prolong lifetime of the motor and ensure the performance of the motor.