The invention provides a segmented anchoring and grouting anchor rod device capable of achieving automatic clamping and an anchoring method thereof. According to the device, a grouting anchor rod, a first connecting piece, a cylinder, a second connecting piece and a resin anchor rod are sequentially connected into a rod body through threads; a piston and a piston rod are arranged in the cylinder and are fixedly connected; the end, connected with the second connecting piece, of the cylinder is provided with an annular groove, a plurality of supports are arranged at the end of the cylinder, one end of a movable connection rod is connected with the end of the piston rod, the other end of the movable connection rod penetrates through the annular groove of the cylinder and is hinged to a clamping wing, and the end of the clamping wing is hinged to the supports. According to the device and the method, resin cartridge anchoring and grouting anchoring are fully used, and the clamping wing is added and deeply embedded into the anchor hole wall, so that anchoring force is greatly enhanced. The device and method are suitable for unstable roadways with various mine soft rock crushing, can greatly improve anchoring capacity of a whole anchor rod, effectively improve self-stability of a roadway surrounding rock body, and have the advantages of being good in end anchoring effect, high in anchoring efficiency, convenient to install and the like.