The invention discloses a mechanical transmission closed test bed and a test method thereof. The test bed comprises a motor, connection gear boxes, a torque and rotation speed sensor, a tested transmission, an accompanying transmission and a loader, wherein the loader comprises a spiral spline shaft, a loaded gear, a plane bearing, a pair of wedge cushion blocks, a sliding bearing, a thrust bar and an oil cylinder; the motor is connected with the left connection gear box for providing rotation power for the overall closed test bed; the two transmissions are connected in a back-to-back mode, the tested transmission is connected with the left connection gear box via the torque and rotation speed sensor and the accompanying transmission is directly connected with the right connection gear box; and the loader is arranged onto the right connection gear box for providing different loads for the overall closed test bed. A transmission fatigue life test and a reliability test can be carried out, the closed structure is adopted, the cost is low, energy is saved, the structure is compact, the use is convenient, and the test bed can be applied to transmissions of various models.