The invention provides a current sensor probe and an assembling method thereof. The probe comprises a supporting frame, iron cores, a winding and pins, wherein the supporting frame comprises an uppercover and a lower cover, the upper cover and the lower cover are connected to form an accommodating cavity, the iron cores are installed in the accommodating cavity, the winding is wound around the iron cores and the supporting frame, the pins are installed on the upper cover of the supporting frame, and wiring heads at two ends of the winding are connected with the pins. The probe is simple and convenient to assemble, the assembling efficiency of the probe is greatly improved, the production cost is reduced, meanwhile the supporting frame introduced into the probe forms a whole, movable partsare arranged in the probe, and the problem is solved that the winding is likely to break. In addition, the assembled probe serves as a whole and all the pins correspond in a one-to-one mode in finished product assembly and testing links, strenuous pin number distinguishing is not needed, probe and PCB assembly is facilitated, the pins are made of a hard metal material, a clamp can be used for testing, and the finished product assembling efficiency and testing efficiency are greatly improved.