The invention discloses a compressed air energy storage system, which comprises a compressor unit, a pre-expansion device, a turbine expansion machine, an intermediate cooler, an electric motor, a power generator, a hot water storage tank and a cold water storage tank, wherein the system utilizes electric energy which is not used up in the user electricity consumption valley period or wind power station power generation peak period for driving the compressor unit to work, the air at the normal pressure is compressed to high pressure, in addition, the part of air with rich pressure energy is stored into a high-pressure-resistance hole, in addition, the stored high-pressure air is released in the user electric consumption peak period or the wind power field generation valley period, an expansion unit is pushed to apply work, and the electric energy is output. The air pre-expansion device is additionally arranged at an outlet of an air storage chamber, so the air inlet pressure of the air turbine expansion machine is stable, the work stability of a power generation system is enhanced, low-temperature air at an outlet of the pre-expansion device is utilized for cooling hot water from the hot water storage tank, the temperature of the low-temperature air is raised through absorption of heat from the hot water, and the cooled water enters the cold water storage tank. The compressed air energy storage system is provided with the hot water storage tank and the cold water storage tank, the water is cyclically utilized in a closed loop, the water is not consumed, in addition, the heat discharged by the compressor is fully utilized and conveyed back to the high-pressure air at the outlet of the pre-expansion device. The high-pressure air at the outlet of the pre-expansion device is recovered through a heat recovering device (HRH).