The invention discloses an apparatus for measuring a diffusion coefficient during a shale oil carbon dioxide huffing-puffing process and a method thereof. According to the invention, a radial rock core holding unit, a confining pressure pump and a first pressure transducer are connected with a first three-way connector, a simulation oil saturation pump, a third pressure transducer and the radial rock core holding unit are connected with a fourth three-way connector, the radial rock core holding unit and a vacuum pump are communicated with outside through a third three-way connector, the radialrock core holding unit and a CO2 high-pressure container are connected, the CO2 high-pressure container, a second pressure transducer, and a CO2 gas tank are connected with a second three-way connector, and the confining pressure pump, the CO2 high-pressure container, the radial rock core holding unit, the simulation oil saturation pump, the first pressure transducer, the second pressure transducer, the third pressure transducer, the first three-way connector, the second three-way connector, the third three-way connector, and the fourth three-way connector are capable of controlling the temperature through a thermotank. The CO2 adsorption dissolving by shale and diffusion coefficient under crude oil expansion condition are considered, so that the apparatus and the method have important guidance meaning for designing an on-site exploitation scheme.