The invention discloses a rolling mill with an anti-splashing spray system. The rolling mill comprises a rolling mill body, support pillars, first slide rails, a support frame, a protective cover, an electric control box, a control panel, a first servo motor, connecting rods, an emulsified liquid storage box, a feed opening, second slide rails, threaded rods, second sliders, a liquid receiving groove, sprayers, first sliders, a scraper plate, a liquid level sensor, a water pump, a liquid outlet pipe, a movement wheel, a second servo motor, an alarm and a PLC, wherein the support pillars are fixedly connected to corresponding two sides of the top of the rolling mill body through bolts; the electric control box is fixed on one side of one of the support pillars through a screw; and the control panel is mounted on one side of the electric control box. According to the rolling mill with the anti-splashing spray system, the protective cover is combined with the spray system in the rolling mill for use, so that an emulsified liquid is prevented from splashing all around, and meanwhile, the protective cover is convenient to adjust position and clean.