The invention discloses an all-fiber direct detection anemometric laser radar system and a closed-loop control method thereof. The system comprises an optical emission part, a frequency locking part, an emission part and a receiving part, wherein the optical emission part is used for emitting a modulated and amplified laser pulse; the frequency locking part is used for detecting the laser frequency variation, feeding back to the laser emission part, adjusting the laser wavelength and further realizing the function of locking the laser wavelength according to the deviation; the emission part is used for enabling the laser beam to point to the detection zone of the atmosphere, coupling the atmospheric back scattered light to a receiver through an optical telescope and modulating the near field signal strength; the receiving part is used for filtering out sun background from a signal and dividing the signal into two paths, one path of signal passes through a Fabry-Perot interferometer, the other path of signal is used as energy reference, the transmittance is obtained through the ratio of the signal intensities of the two paths of signal, and the wind velocity is obtained through inversion according to Doppler frequency shift. The laser radar adopts an all-fiber structure and has the advantages of small size and light weight, the manufacturing cost of the radar is low, the laser radar is controlled through a 3-level closed-loop, and the environmental adaptability and working stability of the laser radar are improved.