The present invention discloses compound high speed steel roll and its making process. The compound high speed steel roll consists of roll body and roll core compounded through central casting. The roll body is made of high speed steel comprising chemically C 1.8-2.8 (in wt%, same as below), Mo 4.0-8.0, V 3.0-7.0, Nb 1.5-4.0, Cr 6.0-12.0, RE 0.1-0.25, Ti 0.15-0.40, N 0.08-0.20, K 0.06-0.18, Si<2.0, Mn<2.0, S<0.05 and P<0.05, except Fe and inevitable impurity. The roll core is made of high strength nodular cast iron comprising chemically C 3.2-3.6 (in wt%, same as below), Si 1.8-2.4, Mn 0.4-0.8, Ni 0.3-1.2, Cr 0.3-0.8, Mo 0.2-0.5, Mg 0.03-0.08, RE 0.05-0.14, P<0.08 and S<0.03, except Fe and inevitable impurity. The compound high speed steel roll has high wear resistance, simple making process and high production efficiency.