The invention discloses a supercritical Freon heat exchange experiment system and an experiment method thereof. The system comprises a vacuum and Freon injection module consisting of a vacuum pump, a coolant tank, a coolant recycling and injection machine, a valve and a pipeline connected to a main loop, a circulating module consisting of a shield pump and a closed type loop pipeline, a heat return module consisting of a heat regenerator and a bypass pipeline, a preheating module consisting of a snake-shaped preheating section and a direct current power supply, an experiment module consisting of an experiment section and a relevant valve, and a pressure adjustment module consisting of a high-pressure nitrogen bottle, a pressure stabilizer, a safety valve and a pressure reduction valve, wherein Freon flows into the experiment section after being subjected to heat regeneration and preheated from the outlet of the shield pump, and then finally returns to the inlet of the shield pump after being cooled by a condenser, thus forming a closed circulation. The invention further provides an experiment method of the system. The system can bear a higher-temperature working condition and a higher-pressure working condition, ensure that the Freon can run cyclically under a supercritical state, and also easily, conveniently and quickly adjust system parameters.