The invention relates to the field of geothermal exploitation and provides a method for self-circulation exploitation of geothermal energy of hot dry rock with multilateral well and volume fracturing technologies. According to the method, firstly, multilateral well holes are drilled in different depths of a reservoir of the hot dry rock, the reservoir between upper and lower multilateral well holes is fractured with the volume fracturing technology, a high-permeability hot dry rock reservoir is constructed, and finally, thermal-carrying media are injected and exploited for geothermal exploitation. Annularly-injected low-temperature thermal-carrying media flow to the fractured reservoir of the hot dry rock along the multilateral well holes in the upper part of the reservoir, flow to the multilateral well holes in the lower part under the double actions of injection pressure and potential-energy difference and finally flow back to the ground along an oil pipe. According to the method, the multilateral well and fracturing technologies are sufficiently utilized, the reservoirs of the hot dry rock are effectively communicated, the problem about crack communication during conventional double-well fracturing for injection and exploitation is solved, the potential-energy difference in different depths can be further effectively utilized, and the flowing capability of the thermal-carrying media is greatly improved. With the use of the thermal insulation oil pipe, the thermal loss in the exploitation process of the thermal-carrying media is further reduced, and the exploitation efficiency of geothermal energy is improved.