The invention provides a dust removal device with a wind-water mixing function and a drilling rig thereof. The dust removal device comprises a compressed air system, a wind-water mixing box, a first pipeline, a water containing pipe, a second pipeline, a third pipeline, and a drilling air inlet one-way valve, wherein an inlet of the first pipeline is connected with the compressed air system, an outlet of the first pipeline communicates with the top of the wind-water mixing box, the water containing pipe communicates with the wind-water mixing box, and supplies water to the wind-water mixing box, the second pipeline is arranged at the bottom of the wind-water mixing box and communicates with a drill rod of the drilling rig, the third pipeline is connected between the first pipeline and thesecond pipeline, the drilling air inlet one-way valve is arranged on the third pipeline, and an inlet of the drilling air inlet one-way valve faces the first pipeline. High-pressure blast and water are synchronously fed into a drilling impactor, the high-pressure blast provides power for impacting coring drilling, rock powder and rock debris generated in the drilling process are wetted by the water, the drilling effect of an impacting drilling coring sample is guaranteed, and the flying situation of the rock powder is reduced; and the dust removal device has very high practical value and promotional value in the field of tunnel geological advance impacting coring drilling.