The invention discloses a double-cylinder type magneto-rheological damper with inner and outer coils. The double-cylinder type magneto-rheological damper comprises a piston rod, a piston, an inner cylinder barrel, an outer cylinder barrel, an end cover, a dustproof ring, the inner coil, the outer coil, a coil protective layer, a compensation air bag, a bottom locating piece and a nut, wherein the piston rod is tightly connected with the piston; the piston is positioned in the inner cylinder barrel; the inner cylinder barrel is fixed with the bottom locating piece through the end cover; the bottom locating piece is tightly connected with the outer cylinder barrel; a through hole is formed in the middle of the bottom locating piece and used for compensating for an air bag valve port so as to enable the air bag valve port to extend out of the damper; the compensation air bag is mounted at the bottom of the inner cylinder barrel; the end cover is tightly connected with the outer cylinder barrel; the inner coil and the outer coil are wound on the end cover; the dustproof ring is mounted at the top of the inner hole of the end cover; and an end part groove is formed in the part below the end cover. The double-cylinder type magneto-rheological damper with inner and outer coils has the benefits as follows: the structure is simple, the processing and manufacturing are convenient, the cost is low, the damping force of the damper is adjusted, the inner coil has a sealing function, and the sealing performance is good.