Provided is a method for recycling a cold-rolled oil sludge, including the following steps: mixing methanol with the cold-rolled oil sludge to obtain a mixture, and subjecting the mixture to esterification under supercritical conditions to obtain a solid-liquid mixture; subjecting the solid-liquid mixture to solid-liquid separation to obtain an iron filing and a liquid phase; and subjecting the liquid phase to methanol removal and extraction in sequence to obtain an oil phase product and an aqueous phase product.