The invention provides an integrated anti-extrusion connecting system and a method thereof for water-knife forming, strengthening and quenching. The system comprises a connecting device, a water-knifepower system, an electric control system and a water circulation treatment system, wherein the connecting device comprises a spray head and a connecting tool; the water-knife power system comprises awater tank, a filter, a low-pressure water pump, a check valve, a high-pressure water pump, an energy accumulator, a throttle valve, a hard particle tank, a mixing cavity and a stop valve, and the stop valve is located above the spray head; the electric control system is electrically connected with the high-pressure water pump, the low-pressure water pump, electromagnetic coils and a blank holderhydraulic system; and one end of the water circulation treatment system is connected with the water tank of the water-knife power system, and the other end of the water circulation treatment system is connected with a water collector. The system is used for connecting multi-layer plates, forming, quenching and strengthening are integrated, the production efficiency is high, the connection reliability is high, and the connection position has the advantages of compact metal structure, high strength, strong wear resistance, high hardness and the like.