The invention relates to the technical field of steam generators, in particular to a steam generator of an annealing furnace and a control method thereof. The steam generator of the annealing furnace comprises an electric heating device twisted with resistance wires, a built-in dry combustion liner, a PLC controller, a water supply device, a thermocouple, and a steam distributor communicated with an inner chamber of a steam oven. The steam generator of the annealing furnace can better utilize heat brought by wires, avoids the waste of water and electric energy caused by overflow, improves the stability of steam, simplifies structure, is easy to operate, and reduces manufacturing cost and maintenance cost.