The invention relates to a water heat-transfer shift process for by-product high-grade steam energy-saving deep conversion. According to the process, a primary water heat-transfer shift converter and a secondary shift converter are adopted, CO in feed gas reacts with H2O to generate H2 and CO2 under the catalysis of a Co-Mo (copper-zinc) catalyst, and CO in shift gas coming out of a shift system is less than or equal to 0.1% (dry basis). In the process, CO is subject to deep conversion, the feed gas (containing water gas, semi-water gas, natural gas conversion gas or coke-oven gas conversion gas) utilization rate is high, the shift catalyst is not overheated, and the catalyst has a long service life; meanwhile, by-product saturated steam with the pressure of 0.5 to 9.0 MPa is generated, sensible heat and latent heat in the shift gas are further recovered by deoxygenated water and desalted water, low-grade heat energy is converted into high-grade heat energy, cooling water consumption is reduced, the temperature of` the shift gas coming out of a process system is lower than or equal to 40 DEG C, equipment is few, the flow is short, the investment is small, and the resistance is low (less than or equal to 0.05MPa).